The equivalence of Hausman and Lagrange Multiplier tests of independence between disturbance and a subset of stochastic regressors Academic Article uri icon

abstract

  • This note shows that the Hausman test and Lagrange Multiplier tests of independence between the disturbance term and a subset of stochastic regressors in a regression equation are algebraically equivalent if they are evaluated at the 2SLS estimates of parameters. © 1985.

author list (cited authors)

  • Hwang, H.

citation count

  • 6

publication date

  • January 1985