Authors
Citation
Kf. Wong, BOOTSTRAPPING HAUSMAN EXOGENEITY TEST, Economics letters, 53(2), 1996, pp. 139-143
Citations number
10
Categorie Soggetti
Economics
Journal title
ISSN journal
01651765
Volume
53
Issue
2
Year of publication
1996
Pages
139 - 143
Database
ISI
SICI code
0165-1765(1996)53:2<139:BHET>2.0.ZU;2-A
Abstract
This paper compares, via simulations, the performance of Hausman's tes
t of exogeneity based on first-order asymptotics and a bootstrap proce
dure in i.i.d. samples. The result shows that a third-order correct bo
otstrap-based inference procedure performs substantially better than t
he first-order asymptotics.