Comparisons of within and between estimators using the conventional Hausman test may be subject to statistical problems if the within variation is not su¢ ciently large. Adopting an alternative asymptotic approximation, we propose a modi…cation of Hausman test that is valid whether the within variation is small or large. 1 Introduction With the advent of many panel data sets, researchers are co...

The Hausman test statistic in panel data models is asymptotically pivotal under the null hypothesis. It could therefore be refined using the bootstrap resampling technique. Edgeworth expansion shows that coverage of a bootstrap version of the Hausman test is second-order correct. The asymptotic vis-à-vis the bootstrap version of Hausman test are compared by Monte Carlo simulations. Results show...

This paper considers a Hausman and Taylor (1981) panel data model that exhibits a Cliff and Ord (1973) spatial error structure. We analyze the small sample properties of a Generalized Moments estimation approach for that model. This spatial Hausman-Taylor estimator allows for endogeneity of the time-varying and time-invariant variables with the individual effects. For this model, the spatial fi...

In a recent paper, Hausman et al. (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments asymptotics. Moreover, this estimator has moments, just like the estimator by Fuller (1977). The purpose of this note is to discuss ...

We consider the following problem. There is a structural equation of interest that contains an explanatory variable that theory predicts is endogenous. There are one or more instrumental variables that credibly are exogenous with regard to this structural equation, but which have limited explanatory power for the endogenous variable. Further, there is one or more potentially ‘strong’ instrument...

Hausman & Woodward present an argument for the Causal Markov Condition (CMC) on the basis of a principle they dub ‘modularity’ ([1999, 2004]). I show that the conclusion of their argument is not in fact the CMC but a substantially weaker proposition. In addition, I show that their argument is invalid and trace this invalidity to two features of modularity, namely, that it is stated in terms of ...

☆ We are grateful to Bob Schoeni and Donna Nordqui Barreca and Rachel Henry Currans-Sheehan provided Schanzenbach thanks the Joint Center for Poverty Re and Nutrition Research Innovation and Development and the Population Research Center at the University of support. ⁎ Corresponding author at: School of Education and So versity, IL, United States. E-mail addresses: [email protected] (H.W. Ho...

This paper develops a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test statistic of overidentifying restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman (2002, Econometrica 70(1): 163-189) up to a sign. The modified Sargan test is constructed such that its asymptotic distribution under the null hypothesis of correct specifica...

In The Bell Curve, Herrnstein and Murray (1994) claim, based on evidence from crosssectional regressions, that differences in wages in the U.S. labor market are predominantly explained by general intelligence. Cawley, Heckman, and Vytlacil (1999), using evidence from random effects panel regressions, reject this claim, in part because returns to general intelligence vary by racial and gender su...

This paper investigates the potential problem of ‘pseudo-exogenous’ instruments in regression models. We show that the performance of Hausman test is deteriorated when the instruments are asymptotically exogenous but endogenous in finite samples, through Monte Carlo simulations.