THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST

DOI10.1017/S0266466609100026zbMath1185.62197MaRDI QIDQ3557545

Patrik Guggenberger

Publication date: 23 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items (14)

Using invalid instruments on purpose: focused moment selection and averaging for GMM ⋮ Bonferroni-based size-correction for nonstandard testing problems ⋮ Finite sample inference in multivariate instrumental regressions with an application to Catastrophe bonds* ⋮ Select the valid and relevant moments: an information-based Lasso for GMM with many moments ⋮ THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST ⋮ ON NONPARAMETRIC INFERENCE IN THE REGRESSION DISCONTINUITY DESIGN ⋮ The impact of a Hausman pretest on the size of a hypothesis test: the panel data case ⋮ Increasing the power of specification tests ⋮ Testing regression coefficients after model selection through sign restrictions ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ The Hausman test and weak instruments ⋮ Uniformity and the delta method ⋮ Simple Tests for Exogeneity of a Binary Explanatory Variable in Count Data Regression Models ⋮ Stein-like 2SLS estimator

Cites Work

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• The Hausman test and weak instruments
• Fixed effects, random effects or Hausman-Taylor: a pretest estimator
• Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators
• VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES
• THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST
• ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
• Hybrid and Size-Corrected Subsampling Methods
• Panel Data and Unobservable Individual Effects
• Specification Tests in Econometrics
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

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