Article ID Journal Published Year Pages File Type
5062677 Economics Letters 2006 7 Pages PDF
Abstract

The conventional Hausman's exogeneity test is corrected for models with serial correlation of unknown form. Using simulations we find that the corrected Hausman test based on the block bootstrap outperforms the corrected test based on the first-order asymptotics.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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The block bootstrap test of Hausman's exogeneity in the presence of serial correlation
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