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 … situations. We find that the test statistic performs well as regards empirical size in almost all cases; however, as regards … statistic from the augmented regression setup that is often used for the endogeneity test, and we find that the choice between …