Abstract
This paper is related to the specification test introduced by J. Hausman. A specification test is often used as a first step in an estimation procedure. In the case of the linear model the biases and the mean square errors of the classical and of the specification pre-test estimators are computed and compared. It is shown that the latter is not uniformly better than the former and conversely. In the case of a four-variables model, regions in the parameters space where the specification pre-test estimator outdoes the classical one are numerically settled.
| Original language | English |
|---|---|
| Pages (from-to) | 15-27 |
| Number of pages | 13 |
| Journal | Journal of Econometrics |
| Volume | 25 |
| Issue number | 1-2 |
| DOIs | |
| Publication status | Published - 1 Jan 1984 |
| Externally published | Yes |