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The impact of a Hausman pretest on the asymptotic size of a hypothesis test

Guggenberger, Patrik - In: Econometric theory 26 (2010) 2, pp. 369-382

Persistent link: https://www.econbiz.de/10003968594

The impact of a Hausman pretest on the size of a hypothesis test : the panel data case

Guggenberger, Patrik - In: Journal of econometrics 156 (2010) 2, pp. 337-343

Persistent link: https://www.econbiz.de/10008648810

On the asymptotic size distortion of tests when instruments locally violate the exogeneity assumption

Guggenberger, Patrik - In: Econometric theory 28 (2012) 2, pp. 387-421

Persistent link: https://www.econbiz.de/10009520937

A convergent t-statistic in spurious regressions

Sun, Yixiao - 2003

Persistent link: https://www.econbiz.de/10001753294

A convergent t-statistic in spurious regressions

Sun, Yixiao - In: Econometric theory 20 (2004) 5, pp. 943-962

Persistent link: https://www.econbiz.de/10002265261

Let’s fix it : fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 659-677

Persistent link: https://www.econbiz.de/10010257366

Let s fix it : fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - 2012

Persistent link: https://www.econbiz.de/10010209966

A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator

Sun, Yixiao - In: The econometrics journal 16 (2013) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009722516

On the Asymptotic Size of Subvector Tests in the Linear Instrumental Variables Model

Guggenberger, Patrik - 2011

We calculate the asymptotic sizes of the subvector Anderson and Rubin (1949, AR) and Lagrange Multiplier (LM) tests in a linear instrumental variables model with two right hand side endogenous variables when the reduced form coefficient matrix is unrestricted. Under the assumption of conditional...

Persistent link: https://www.econbiz.de/10014175841

The Impact of a Hausman Pretest on the Size of Hypothesis Tests

Guggenberger, Patrik - 2008

This paper investigates the size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis about a component of the structural...

Persistent link: https://www.econbiz.de/10014218566