Some Finite-Sample Results on the Hausman Test
Econometrics
2023-12-19 v1
Abstract
This paper shows that the endogeneity test using the control function approach in linear instrumental variable models is a variant of the Hausman test. Moreover, we find that the test statistics used in these tests can be numerically ordered, indicating their relative power properties in finite samples.
Keywords
Cite
@article{arxiv.2312.10558,
title = {Some Finite-Sample Results on the Hausman Test},
author = {Jinyong Hahn and Zhipeng Liao and Nan Liu and Shuyang Sheng},
journal= {arXiv preprint arXiv:2312.10558},
year = {2023}
}