We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study examines the performance of the statistic for different...

This paper suggests Monte Carlo multiple test procedures which are provably valid in finite samples. These include combination methods originally proposed for independent statistics and further improvements which formalize statistical practice. We also adapt the Monte Carlo test method to...