A reformulation of the Hausman test for regression models with pooled cross-section-time-series data

Seung Ahn, Stuart Low

Research output: Contribution to journalArticle

13 Scopus citations

Abstract

A Hausman test has been typically used to determine the consistency of the GLS estimator in static models with pooled cross-section-time-series data. Based on a GMM approach, we reformulate the Hausman test and find that it incorporates and tests only a limited set of moment restrictions. We also consider an alternative GMM statistic incorporating additional restrictions, which has power toward additional sources of model misspecification. Our Monte Carlo experiments demonstrate that while both the Hausman test and the alternative have good power detecting endogenous regressors, the alternative dominates if coefficients of regressors are nonstationary.

Original languageEnglish (US)
Pages (from-to)309-319
Number of pages11
JournalJournal of Econometrics
Volume71
Issue number1-2
DOIs
StatePublished - Jan 1 1996

Keywords

  • GMM test
  • Hausman test
  • Non-stationary coefficients
  • Pooled cross-section-time-series data

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint Dive into the research topics of 'A reformulation of the Hausman test for regression models with pooled cross-section-time-series data'. Together they form a unique fingerprint.

  • Cite this