On the performance of tests by Wu and by Hausman for detecting the ordinary least squares bias problem
type: Item
instance of: scholarly article
title: On the performance of tests by Wu and by Hausman for detecting the ordinary least squares bias problem
zbMATH Open document ID: 0611.62145
DOI: 10.1016/0304-4076(85)90153-8
author: Masao Nakamura
author: Alice O. Nakamura
published in: Journal of Econometrics
publication date: 1985-01-01T00:00:00Z
review text: We first consider the performance of the Wu-Hausman (W-H) specification error test [\textit{D.-M. Wu}, Econometrica 41, 733-750 (1973; Zbl 0301.62032) and \textit{J. A. Hausman}, ibid. 46, 1251-1271 (1978; Zbl 0397.62043)] as a test for the existence of ordinary least squares (OLS) bias. We discuss power properties of the test under alternative null hypotheses, one of which has not previously been considered. We next consider how the W-H test performs as an indicator of the extent (rather than the existence) of an OLS bias problem, since this usage of the test seems common in applied studies. Finally Monte Carlo methods are used to evaluate Wu's two-step estimation procedure involving the W-H test as a pretest.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62H15
zbMATH DE Number: 3988583
zbMATH Keywords: Wu-Hausman (W-H) specification error test
zbMATH Keywords: ordinary least squares
zbMATH Keywords: power
zbMATH Keywords: OLS bias problem
zbMATH Keywords: Monte Carlo methods
zbMATH Keywords: Wu's two-step estimation procedure
MaRDI profile type: Publication
full work available at URL: 0304-4076(85)90153-8
OpenAlex ID: W2141257486
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description: scientific article; zbMATH DE number 3988583