The Hausman pretest estimator
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- 作者：Viera Chmelarova ; R. Carter Hill
- 关键词：Pretest estimator ; Hausman test ; Endogeneity
- 刊名：Economics Letters
- 出版年：2010
- 出版时间：July 2010
- 年：2010
- 卷：108
- 期：1
- 页码：96-99
- 全文大小：130 K
文摘
In a Monte Carlo experiment we show that using a small probability of Type I error may lead to reduced pretest estimator MSE when a Hausman pretest is used to choose between least squares and instrumental variables estimators.