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The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
Nawata, Kazumitsu; McAleer, Michael - Department of Economics and Finance, College of … - 2014
Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative...
Persistent link: https://www.econbiz.de/10010907409
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The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
McAleer, Michael; Nawata, Kazumitsu - Facultad de Ciencias Económicas y Empresariales, … - 2013
Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and alternative...
Persistent link: https://www.econbiz.de/10010778706
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The maximum Number of parameters for the Hausman Test When the Estimators are from Different Sets of Equations
McAleer, Michael; Nawata, Nawata, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
__Abstract__ Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but inconsistent under the alternative, and the other being consistent under both the null and...
Persistent link: https://www.econbiz.de/10011149244
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The Maximum Number of Parameters for the Hausman Test When the Estimators are from Different Sets of Equations
Nawata, Kazumitsu; McAleer, Michael - Tinbergen Instituut - 2013
This discussion paper led to a publication in <I>Economics Letters</I> (2014). Vol. 123(3), pages 291-294.<P> Hausman (1978) developed a widely-used model specification test that has passed the test of time. The test is based on two estimators, one being consistent under the null hypothesis but...</p></i>
Persistent link: https://www.econbiz.de/10011256925
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Modeling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - Department of Economics and Finance, College of … - 2013
through the comparison of simultaneous and sequential estimation, modeling tail credit risk using transition matrices …
Persistent link: https://www.econbiz.de/10010907447