Cr. Ai, PRACTITIONERS CORNER - A POSITIVE SEMIDEFINITE COVARIANCE-MATRIX FOR HAUSMAN SPECIFICATION TESTS OF CONDITIONAL AND MARGINAL DENSITIES, Oxford bulletin of economics and statistics, 57(2), 1995, pp. 277-281
Citations number
4
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Statistic & Probability
When the joint density of data can be factorized into a conditional an
d marginal densities, Hausman test can be used for diagnosing misspeci
fications of these densities. However, since common covariance estimat
es of the difference of the two estimators used in Hausman test need n
ot be positive semi-definite in finite samples, the test statistic may
be negative. This paper presents a simple and consistent covariance m
atrix which is positive semi-definite in any finite sample.