Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189773 
Year of Publication: 
2018
Series/Report no.: 
cemmap working paper No. CWP46/18
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
This paper shows how to increase the power of Hausman's (1978) specification test as well as the difference test in a large class of models. The idea is to impose the restrictions of the null and the alternative hypotheses when estimating the covariance matrix. If the null hypothesis is true then the proposed test has the same distribution as the existing ones in large samples. If the hypothesis is false then the proposed test statistic is larger with probability approaching one as the sample size increases in several important applications, including testing for endogeneity in the linear model.
Subjects: 
Specification test
Hausman test
Power of tests
JEL: 
C01
C14
C18
C41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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