Some useful equivalence properties of Hausman's test

Details

Serval ID
serval:BIB_9846E3FF8D9A
Type
Article: article from journal or magazin.
Collection
Publications
Title
Some useful equivalence properties of Hausman's test
Journal
Economics Letters
Author(s)
Holly Alberto, Monfort Alain
ISSN
0165-1765
Publication state
Published
Issued date
1986
Peer-reviewed
Oui
Volume
20
Number
1
Pages
39-43
Language
english
Abstract
This paper describes in general terms situations in which apparently different expressions for Hausman's test statistic are actually either asymptotically equivalent or numerically equal. It also describes, in the most general possible way, cases where quadratic forms based on linear combinations of the constrained and unconstrained estimators of all the unknown parameters of a model are asymptotically equivalent to the classical test statistics. The theoretical results presented in this paper are illustrated with an example.
Create date
06/10/2010 19:14
Last modification date
20/08/2019 15:59
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