, we study the performanceof the test in the case of heteroscedasticity, non-normality, endogeneity,dense weighting … matrices and non-linearity. Our results offer a positive view of theLikelihood Ratio test of Common Factors, which appears to …

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 heteroskedasticity-robust variance estimators and different skedastic …

This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent … conditions (with or without a unit root), and error characteristics (homoskedasticity or heteroskedasticity of different forms …