A Positive Semi-definite Covariance Matrix for Hausman Specification Tests of Conditional and Marginal Densities.

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 1995
Volume: 57
Issue: 2
Pages: 277-81

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

When the joint density of data can be factorized into conditional and marginal densities, the Hausman (1978) test can be used for diagnosing misspecifications of these densities. However, since common covariance estimates of the difference of the two estimators used in the Hausman test need not be positive semidefinite in finite samples, the test statistic may be negative. This paper presents a simple and consistent covariance matrix that is positive semidefinite in any finite sample. Copyright 1995 by Blackwell Publishing Ltd

Technical Details

RePEc Handle
repec:bla:obuest:v:57:y:1995:i:2:p:277-81
Journal Field
General
Author Count
1
Added to Database
2026-01-24