Talk:Durbin–Wu–Hausman test

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Text merged from Talk:Hausman specification test[edit]

Merge?[edit]

I don't speak econese, but is this the same thing as Hausman test? Her Pegship (tis herself) 22:17, 9 June 2008 (UTC)[reply]

It really should be merged. Or, even better, deleted, as it barely makes sense. —Preceding unsigned comment added by 158.143.50.170 (talk) 12:31, 11 February 2009 (UTC)[reply]

Merge the two (there's nothing in the other one) and I find it funny that it's too technical for a general audience. Well, no duh. The Hausman test is a comparison of a fixed effects vs random effects model. I'm a 3rd year PhD student in economics and I barely understand it. Somethings will never be accessible to a "general audience". 128.195.110.44 (talk) 00:15, 10 June 2008 (UTC)[reply]

Merge. But "Somethings will never be accessible to a "general audience". " ... the article needs more context, and an explanation of where the variance matrix is supposed to come from ... and something to distinguish is from other test statistics of a similar form: see for example Mahalanobis distance. Melcombe (talk) 09:07, 10 June 2008 (UTC)[reply]

Merge! —Preceding unsigned comment added by 169.237.158.159 (talk) 19:08, 10 June 2008 (UTC)[reply]

Wu too?[edit]

In virtually every place I've encountered this test, it is ubiquitously known as the Hausman-Wu test. See the reference: Wu, D. Min (1973). Alternative Tests of Independence Between Stochastic Regressors and Disturbances. Econometrica, 41, 733-750. This predates Hausman by about 5 years, and in fact I have seen this called the Wu-Hausman test in many places. — Preceding unsigned comment added by P4wnc6 (talk • contribs) 02:40, 8 February 2012 (UTC)[reply]

It would be much more meaningful if you gave sources that actually use the term "Wu-Hausman test". Melcombe (talk) 08:30, 8 February 2012 (UTC)[reply]

Just do a Google search for Wu-Hausman test or Hausman-Wu test. Basically every serious academic source includes Wu somewhere in the name. It's so ubiquitous that I wouldn't even know where to start with a "source" that calls it that ... try any econometrics article in the last 10 years that calls for use of the test. For example, just look at the hits for Wu-Hausman test when searching Google books: [1] Most papers just refer to it this way since it is stated this way in most books. — Preceding unsigned comment added by P4wnc6 (talk • contribs) 04:01, 10 February 2012 (UTC)[reply]

The point is that there are no immediate citation in the article to any such usage, or to meet the requiremnents of WP:N. Melcombe (talk) 09:03, 10 February 2012 (UTC)[reply]

This has been fixed now. The page title is now Durbin-Wu-Hausman test. Vardhanisation (talk) 16:19, 2 May 2022 (UTC)[reply]

Define the estimators[edit]

In the current article, b₀ and b₁ aren't even defined! Btyner (talk) 17:01, 26 April 2015 (UTC)[reply]

The exact definitions of b₀ and b₁ are not needed as long as one of them is decidedly more efficient than the other — correct me if I'm wrong. They both estimate b in y = Xb + e. This comment was made in 2015 so I believe it has been fixed sometime in the last seven years. Vardhanisation (talk) 16:24, 2 May 2022 (UTC)[reply]

Derivation is not correct[edit]

Sign of variance changes after applying "covariance is 0". Couldn't find a reference myself to fix it at the generality level of the article though. — Preceding unsigned comment added by Victordamatta (talk • contribs) 14:07, 28 July 2020 (UTC)[reply]

it's correct, just confusing the way it's worded. the covariance it's referencing is cov(q,b1), i.e. "covariance of an efficient estimator with its difference from an inefficient estimator is zero" ... b1 is the efficient estimator, b0 is the inefficient estimator, and q=b0-b1. the proof is in the hausman reference — Preceding unsigned comment added by 2601:401:180:6FE0:79D9:3CB2:C8E2:EE6E (talk) 15:18, 22 February 2022 (UTC)[reply]