Durbin–Wu–Hausman Specification Tests

DOI10.1142/9789811202391_0028zbMath1455.62205OpenAlexW3080261441MaRDI QIDQ5139427

Robert H. Patrick

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0028

zbMATH Keywords

identificationendogeneitypanel datameasurement errornon-parametric testsomitted variablesgeneralized method of moments (GMM)artificial regressioninstrumental variables (IV)Durbin-Wu-Hausman (DWH) specification testsfixed effects (FE)random effects (RE)robust Hausmansimulation and bootstrap techniques

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

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