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2004•Applied EconomicsRequires access

Modified Hausman tests for inefficient estimators

Michael Creel

Open publisher page 14 citations

Abstract

Widely-used estimators such as the generalized method of moments (GMM) and quasi-maximum likelihood (QML) are not efficient in general. This study shows how the Hausman specification test may easily be corrected to be used with inefficient estimators. It introduces a related test that has better power, and it points out the relationship to the GMM criterion test of specification of overidentified models. A brief simulation illustrates the results.

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What this paper is about

Widely-used estimators such as the generalized method of moments (GMM) and quasi-maximum likelihood (QML) are not efficient in general. This study shows how the Hausman specification test may easily be corrected to be used with inefficient estimators. It introduces a related test that has better power, and it points out the relationship to the GMM criterion test of specification of overidentified models. A brief simulation illustrates the results.

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OpenAlex reports 14 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

Widely-used estimators such as the generalized method of moments (GMM) and quasi-maximum likelihood (QML) are not efficient in general. This study shows how the Hausman specification test may easily be corrected to be used with inefficient estimators. It introduces a related test that has better power, and it points out the relationship to the GMM criterion test of specification of overidentified models. A brief simulation illustrates the results.

Key concepts: Estimator, Hausman test, Replicate, Econometrics, Generalized method of moments, Specification, Test (biology), Computer science

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