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arXiv · 2312.10558

Some Finite-Sample Results on the Hausman Test

Jinyong Hahn·Zhipeng Liao·Nan Liu·Shuyang Sheng
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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.

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Jinyong Hahn, Zhipeng Liao, Nan Liu, Shuyang Sheng. 2023-12-16. Some Finite-Sample Results on the Hausman Test. https://arxiv.org/abs/2312.10558

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