Papadopoulos, Alecos - In: Econometrics : open access journal 11 (2023) 4, pp. 1-11
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...