The maximum number of parameters for the Hausman test when the estimators are from different sets of equations

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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Year of publication:	2014
Authors:	Nawata, Kazumitsu ; McAleer, Michael
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 3, p. 291-294
Publisher:	Elsevier
Subject:	Hausman test \| Specification test \| Number of parameters \| Instrumental variable (IV) model \| Box–Cox model \| Sample selection bias

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Type of publication:	Article
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010776626