Nawata, Kazumitsu; McAleer, Michael - In: Economics Letters 123 (2014) 3, pp. 291-294
Hausman (1978) developed a widely-used model specification test that has passed the test of time. In this paper, we show that the asymptotic variance of the difference of the two estimators can be a singular matrix. Three illustrative examples are used, namely an exogeneity test for the linear...