The Hausman pretest estimator

Chmelarova, Viera; Hill, R. Carter

doi:10.1016/j.econlet.2010.04.027

Cited by 14 publications

(7 citation statements)

References 6 publications

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“…This approach has been used by a number of researchers in related studies (Campa and Kedia, 2002;Villalonga, 2004;Khandker and Faruqee, 2003). This is further supported by the view expressed by Chmelarova and Hill (2010) that if independent variables are endogenous and there are valid IV available, then it is better to use the IV approach since OLS will yield inconsistent estimates.…”

Section: Methodsmentioning

confidence: 70%

Estimating the effects of formal and informal credit on farm household welfare: A hierarchical competitive welfare model approach

Akudugu¹

2014

J. Dev. Agric. Econ.

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This paper uses the hierarchical competitive welfare model approach to estimate the effects of credit from formal and informal sources on welfare development of farm households in Ghana. Data used for the econometric analyses came from the Ghana Living Standards Survey Round 5 dataset. The results showed that when a farm household is given GHC100 as formal credit, its welfare expenditure would increase by about GHC6. On the other hand, GHC100 given to a farm household as informal credit reduces its welfare expenses by about GHC10. There are two possible explanations for the negativity of informal credit on household welfare expenses. The first is that most informal credit is delivered in material forms instead of cash, which therefore reduces how much borrowing households expend on those materials. The second possible explanation is that informal credit borrowers get trapped in the vicious cycle of poverty such that it reduces their capacity to expend towards the attainment of their welfare outcomes such as food security, healthcare, education and general well-being. A paradigm shift towards the integration of formal and informal financial markets of Ghana is recommended.

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Section: Methodsmentioning

confidence: 70%

Estimating the effects of formal and informal credit on farm household welfare: A hierarchical competitive welfare model approach

Akudugu¹

2014

J. Dev. Agric. Econ.

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“…Let us now consider (14). Vector S t is iid by Assumption 1, and E(S t ) = 0 under the null hypothesis of exogeneity at and Assumption 2(vi).…”

Section: Resultsmentioning

confidence: 99%

“…Note …rst that (i) the constant matrix D in (14) identical to that of the standard Hausman test statistic; and second, that (ii) the covariance matrix of S t in (14) is also identical to the corresponding covariance matrix of the Hausman test statistic, except that the scalar terms ij are di¤erent. 8 Noting that T 1=2 (~ (2) ^ (2) ) = R (2) T 1=2 (^ 0 ), we have…”

Section: Resultsmentioning

confidence: 99%

“…where the generalized inverse can be used when the core matrix is not invertible. The fact that the degrees of freedom to use in the test are equal to G can be seen from the form of the formula within brackets, above (14). This is because the (upper) rows of T 1=2 (^ 0 ) corresponds to the components of explanatory variables in Z t that are also in the instruments x t .…”

Section: Resultsmentioning

confidence: 99%

“…Hahn and Hausman (2002),Butler (2000),Chmelarova and Hill (2010), Lavergne and Ngimkeu (2011), Lee and Okui (2012) 2. To name just a few, seeAmemiya (1982),Powell (1983),Chen and Portnoy (1996),Kemp (1999), Sakata (2007), Arias et.…”

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confidence: 99%

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A robust test of exogeneity based on quantile regressions

Kim

Müller

2017

Journal of Statistical Computation and Simulation

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International audienceIn this paper, we propose a robust test of exogeneity. The test statistics is constructed from quantile regression estimators, which are robust to heavy tails of errors. We derive the asymptotic distribution of the test statistic under the null hypothesis of exogeneity at a given quantile. The finite sample properties of the test are investigated through Monte Carlo simulations that exhibit not only good size and power properties, but also good robustness to outliers

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