On the classical nature of the Wu-Hausman statistics for the independence of stochastic regressors and disturbance
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Publication:374783
DOI10.1016/0165-1765(83)90030-7zbMath1273.91384OpenAlexW1965573875MaRDI QIDQ374783
Publication date: 24 October 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(83)90030-7
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Related Items (7)
The equivalence of Hausman and Lagrange multiplier tests of independence between disturbance and a subset of stochastic regressors ⋮ Wald tests for the independence of stochastic variables and disturbance of a single linear stochastic simultaneous equation ⋮ The maximum number of parameters for the Hausman test when the estimators are from different sets of equations ⋮ Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory ⋮ A unified approach to estimation and orthogonality tests in linear single-equation econometric models ⋮ Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances ⋮ Near exogeneity, weak identification and specification testing: Some asymptotic results
Cites Work
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- The Lagrangian Multiplier Test
- A Remark on Hausman's Specification Test
- On the Relationships Among Several Specification Error Tests Presented by Durbin, Wu, and Hausman
- The Elimination Matrix: Some Lemmas and Applications
- Alternative Tests of Independence between Stochastic Regressors and Disturbances: Finite Sample Results
- Alternative Tests of Independence between Stochastic Regressors and Disturbances
- Specification Tests in Econometrics
- An Independence Test and Conditional Unbiased Predictions in the Context of Simultaneous Equation Systems
- Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
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