@ARTICLE{17616586_1978,
author = {Hausman, Jerry},
keywords = {econometric, econometric models, econometric specification, time series, эконометрическая модель, эконометрический метод},
title = {Specification Tests in Econometrics},
journal = {Econometrica},
year = {1978},
month = {},
volume = {46},
number = {6},
pages = {1251-1272},
url = {http://ecsocman.hse.ru/text/17616586/},
publisher = {},
language = {ru},
abstract = {Using the result that under the null hypothesis of no
misspecification an asymptotically efficient estimator must have zero
asymptotic covariance with its difference from a consistent but
asymptotically inefficient estimator, specification tests are devised
for a number of model specifications in econometrics. Local power is
calculated for small departures from the null hypothesis. An
instrumental variable test as well as tests for a time series cross
section model and the simultaneous equation model are presented. An
empirical model provides evidence that unobserved individual factors
are present which are not orthogonal to the included right-hand-side
variable in a common econometric specification of an individual wage
equation. },
annote = {Using the result that under the null hypothesis of no
misspecification an asymptotically efficient estimator must have zero
asymptotic covariance with its difference from a consistent but
asymptotically inefficient estimator, specification tests are devised
for a number of model specifications in econometrics. Local power is
calculated for small departures from the null hypothesis. An
instrumental variable test as well as tests for a time series cross
section model and the simultaneous equation model are presented. An
empirical model provides evidence that unobserved individual factors
are present which are not orthogonal to the included right-hand-side
variable in a common econometric specification of an individual wage
equation. }
}