The maximum number of parameters for the Hausman test when the estimators are from different sets of equations |
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| Authors: | Kazumitsu Nawata Michael McAleer |
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| Institution: | 1. Graduate School of Engineering, University of Tokyo, Japan;2. Department of Quantitative Finance, National Tsing Hua University, Taiwan;3. Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands;4. Tinbergen Institute, The Netherlands;5. Department of Quantitative Economics, Complutense University of Madrid, Spain |
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| Abstract: | Hausman (1978) developed a widely-used model specification test that has passed the test of time. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Three illustrative examples are used, namely an exogeneity test for the linear regression model, a test for the Box–Cox transformation, and a test for sample selection bias. |
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| Keywords: | C3 C12 |
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