A Hausman specification test based on root-\(N\)-consistent semiparametric estimators
type: Item
instance of: scholarly article
title: A Hausman specification test based on root-\(N\)-consistent semiparametric estimators
zbMATH Open document ID: 0773.62073
DOI: 10.1016/0165-1765(92)90213-I
author: Thanasis Stengos
author: Qi Li
published in: Economics Letters
publication date: 1993-10-28T00:00:00Z
review text: \textit{P. M. Robinson} [Econometrica 56, No. 4, 931-954 (1988; Zbl 0647.62100)] considered the model \(y_ i=z_ i\beta+\theta(x_ i)+u_ i\), where the functional form \(\theta(x_ i)\) is unknown to the researcher and he derived a \(\sqrt N\)-consistent semiparametric estimator of \(\beta\). Recently, the authors [Working Paper No. 8, Dpt. Econ., Univ. Guelph/Canada (1992)] considered estimation of a semiparametric dynamic panel data model \(y_{it}=\lambda y_{i,t- 1}+\theta(x_{it})+u_{it}\). Under the assumption that \(u_{it}\) is serially correlated, they used instrumental variable estimation to obtain a \(\sqrt N\)-consistent semiparametric estimator of \(\lambda\). In section 2 of this paper, the authors generalize Robinson's result to the case that \(E(u_ i| z_ i)\neq 0\) and obtain an instrumental variable \(\sqrt N\)-consistent estimator of \(\beta\). Then they propose a Hausman type specification test [\textit{J. A. Hausman}, Econometrika 46, 1251-1271 (1978; Zbl 0397.62043)] for testing the null hypothesis of \(E(u_ i| z_ i)=0\). Section 3 applies this Hausman test to the dynamic panel data model. The authors carry out some Monte Carlo experiments to study the finite sample properties of the proposed test statistic and conclude the paper in section 4.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62G07
zbMATH DE Number: 218391
zbMATH Keywords: consistent semiparametric estimator
zbMATH Keywords: semiparametric dynamic panel data model
zbMATH Keywords: instrumental variable estimation
zbMATH Keywords: Hausman type specification test
zbMATH Keywords: Monte Carlo experiments
zbMATH Keywords: finite sample properties
MaRDI profile type: Publication
cites work: Specification Tests in Econometrics
cites work: Root-N-Consistent Semiparametric Regression
full work available at URL: 0165-1765(92)90213-i
OpenAlex ID: W2027180289
description: scientific article; zbMATH DE number 218391