Essays in Honor of Jerry Hausman PDF
Preview Essays in Honor of Jerry Hausman
ESSAYS IN HONOR OF JERRY HAUSMAN ADVANCES IN ECONOMETRICS Series Editors: Juan Carlos Escanciano, Thomas B. Fomby, R. Carter Hill, Eric Hillebrand, and Ivan Jeliazkov Recent Volumes: Volume 20B: Econometric Analysis of Financial and Economic Time Series – Edited by Dek Terrell and Thomas B. Fomby Volume 21: Modelling and Evaluating Treatment Effects in Econometrics – Edited by Daniel L. Millimet, Jeffrey A. Smith and Edward Vytlacil Volume 22: EconometricsandRiskManagement–EditedbyJean-Pierre Fouque, Thomas B. Fomby and Knut Solna Volume 23: Bayesian Econometrics – Edited by Siddhartha Chib, Gary Koop, Bill Griffiths and Dek Terrell Volume 24: Measurement Error: Consequences, Applications and Solutions – Edited by Jane Binner, David Edgerton and Thomas Elger Volume 25: Nonparametric Econometric Methods – Edited by Qi Li and Jeffrey S. Racine Volume 26: Maximum Simulated Likelihood Methods and Applications – Edited by William Greene and R. Carter Hill Volume 27A: Missing Data Methods: Cross-Sectional Methods and Applications – Edited by David M. Drukker Volume 27B: Missing Data Methods: Time-Series Methods and Applications – Edited by David M. Drukker Volume 28: DSGEModelsinMacroeconomics:Estimation,Evaluation, and New Developments – Edited by Nathan Balke, Fabio Canova, Fabio Milani and Mark A. Wynne ADVANCES IN ECONOMETRICS VOLUME 29 ESSAYS IN HONOR OF JERRY HAUSMAN EDITED BY BADI H. BALTAGI Syracuse University, Syracuse, NY R. CARTER HILL Louisiana State University, Baton Rouge, LA WHITNEY K. NEWEY Massachusetts Institute of Technology (MIT), Cambridge, MA HALBERT L. WHITE University of California, San Diego, CA United Kingdom – North America – Japan India – Malaysia – China EmeraldGroupPublishingLimited HowardHouse,WagonLane,BingleyBD161WA,UK Firstedition2012 Copyrightr2012EmeraldGroupPublishingLimited Reprintsandpermissionservice Contact:[email protected] Nopartofthisbookmaybereproduced,storedinaretrievalsystem,transmittedinany formorbyanymeanselectronic,mechanical,photocopying,recordingorotherwise withouteitherthepriorwrittenpermissionofthepublisheroralicencepermitting restrictedcopyingissuedintheUKbyTheCopyrightLicensingAgencyandintheUSA byTheCopyrightClearanceCenter.Anyopinionsexpressedinthechaptersarethose oftheauthors.WhilstEmeraldmakeseveryefforttoensurethequalityandaccuracyof itscontent,Emeraldmakesnorepresentationimpliedorotherwise,astothechapters’ suitabilityandapplicationanddisclaimsanywarranties,expressorimplied,totheiruse. BritishLibraryCataloguinginPublicationData AcataloguerecordforthisbookisavailablefromtheBritishLibrary ISBN:978-1-78190-307-0 ISSN:0731-9053(Series) CONTENTS LIST OF CONTRIBUTORS ix THE GENESIS OF THE HAUSMAN SPECIFICATION TEST Jerry A. Hausman xiii INTRODUCTION xv THE DIFFUSION OF HAUSMAN’S ECONOMETRIC IDEAS Hector O. Zapata and Cristina M. Caminita 1 PART I: ESTIMATION COMBINING TWO CONSISTENT ESTIMATORS John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson and Tiemen Woutersen 33 A MINIMUM MEAN SQUARED ERROR SEMIPARAMETRIC COMBINING ESTIMATOR George G. Judge and Ron C. Mittelhammer 55 AN EXPOSITORY NOTE ON THE EXISTENCE OF MOMENTS OF FULLER AND HFUL ESTIMATORS John C. Chao, Jerry A. Hausman, Whitney K. Newey, Norman R. Swanson and Tiemen Woutersen 87 OVERCOMING THE MANY WEAK INSTRUMENT PROBLEM USING NORMALIZED PRINCIPAL COMPONENTS Nicky Grant 107 v vi CONTENTS ERRORS-IN-VARIABLES AND THE WAVELET MULTIRESOLUTION APPROXIMATION APPROACH: A MONTE CARLO STUDY Marco Gallegati and James B. Ramsey 149 PART II: PANEL DATA A ROBUST HAUSMAN-TAYLOR ESTIMATOR Badi H. Baltagi and Georges Bresson 175 SMALL SAMPLE PROPERTIES AND PRETEST ESTIMATION OF A SPATIAL HAUSMAN-TAYLOR MODEL Badi H. Baltagi, Peter H. Egger and 215 Michaela Kesina QUANTILE REGRESSION ESTIMATION OF PANEL DURATION MODELS WITH CENSORED DATA Matthew Harding and Carlos Lamarche 237 LABOR ALLOCATION IN A HOUSEHOLD AND ITS IMPACT ON PRODUCTION EFFICIENCY: A COMPARISON OF PANEL MODELING APPROACHES Hild Marte Bjørnsen and Ashok K. Mishra 269 USING PANEL DATA TO EXAMINE RACIAL AND GENDER DIFFERENCES IN DEBT BURDENS Michael D. S. Morris 305 SOVEREIGN BOND SPREAD DRIVERS IN THE EU MARKET IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS Iuliana Matei and Angela Cheptea 327 Contents vii PART III: SPECIFICATION TESTING CONDITIONAL INDEPENDENCE SPECIFICATION TESTING FOR DEPENDENT PROCESSES WITH LOCAL POLYNOMIAL QUANTILE REGRESSION Liangjun Su and Halbert L. White 355 EXTENDING THE HAUSMAN TEST TO CHECK FOR THE PRESENCE OF OUTLIERS Catherine Dehon, Marjorie Gassner and 435 Vincenzo Verardi A SIMPLE TEST FOR IDENTIFICATION IN GMM UNDER CONDITIONAL MOMENT RESTRICTIONS Francesco Bravo, Juan Carlos Escanciano and 455 Taisuke Otsu FIXED VS RANDOM: THE HAUSMAN TEST FOUR DECADES LATER Shahram Amini, Michael S. Delgado, Daniel J. 479 Henderson and Christopher F. Parmeter THE HAUSMAN TEST, AND SOME ALTERNATIVES, WITH HETEROSKEDASTIC DATA Lee C. Adkins, Randall C. Campbell, 515 Viera Chmelarova and R. Carter Hill A HAUSMAN TEST FOR SPATIAL REGRESSION MODEL Monalisa Sen, Anil K. Bera and Yu-Hsien Kao 547 LIST OF CONTRIBUTORS Lee C. Adkins Department of Economics, Oklahoma State University, Stillwater, OK, USA Shahram Amini Department of Finance, Virginia PolytechnicInstituteandStateUniversity, Blacksburg, VA, USA Badi H. Baltagi Department of Economics and Center for Policy Research, Syracuse University, Syracuse, NY, USA Anil K. Bera Department of Economics, University of Illinois at Urbana-Champaign, Urbana-Champaign, IL, USA Hild Marte Bjørnsen Norwegian Agricultural Economics Institute, Oslo, Norway Francesco Bravo Department of Economics, University of York, York, UK Georges Bresson ERMES (CNRS), Universite´ Paris II/SORBONNE Universite´s, Paris, Cedex, France Cristina M. Caminita LSU Libraries, Louisiana State University, Baton Rouge, LA, USA Randall C. Campbell Department of Finance and Economics, Mississippi State University, Mississippi State, MS, USA John C. Chao Department of Economics, University of Maryland, College Park, MD, USA Angela Cheptea INRA-UMR SMART (Agrocampus-Ouest), Rennes, France ix
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