Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89262
Authors: 
Nawata, Kazumitsu
McAleer, Michael
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-197/III
Abstract: 
Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative hypotheses. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Moreover, in calculating the Hausman test there is a maximum number of parameters which is the number of different equations that are used to obtain the two estimators. 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.
Subjects: 
Hausman test
specification test
number of parameters
instrumental variable (IV) model
Box-Cox model
Sample selection bias
JEL: 
C2
C5
I18
Document Type: 
Working Paper

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