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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| Format: | Article |
| Language: | English |
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MDPI AG
2023-10-01
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| Series: | Econometrics |
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| Online Access: | https://www.mdpi.com/2225-1146/11/4/23 |