A New Matrix Statistic for the Hausman Endogeneity Test under Heteroskedasticity

A New Matrix Statistic for the Hausman Endogeneity Test under Heteroskedasticity

We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study examines the performance of the statistic for different hetero...

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Bibliographic Details
Main Author: Alecos Papadopoulos
Format: Article
Language:English
Published: MDPI AG 2023-10-01
Series:Econometrics
Subjects:
Hausman test
heteroskedasticity
endogeneity
instrumental variables
generalized matrix inverse
Wald statistic
Online Access:https://www.mdpi.com/2225-1146/11/4/23

Internet

https://www.mdpi.com/2225-1146/11/4/23

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