The Hausman pretest estimator
In a Monte Carlo experiment we show that using a small probability of Type I error may lead to reduced pretest estimator MSE when a Hausman pretest is used to choose between least squares and instrumental variables estimators.
Year of publication: |
2010
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Authors: | Chmelarova, Viera ; Hill, R. Carter |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 96-99
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Publisher: |
Elsevier |
Subject: | Pretest estimator Hausman test Endogeneity |
Saved in:
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