Least Squares Theory and the Hausman Specification Test

The geometry of least squares is exploited to develop an exact test of the Hausman (1978) type of a linear hypothesis. This leads to necessary and sufficient conditions for the equivalence of Hausman and classical tests. The geometrical theory is then extended to the general problem of specification testing, revealing new perspectives and a synthesis of a wide range of existing results.

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Year of publication:	1985
Authors:	Fisher, Gordon ; Smith, Richard J.
Institutions:	Economics Department, Queen's University

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	24 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005688519