Regression modelEconometrics / time series
Time-Varying Parameter Hausman Test
The time-varying parameter Hausman test extends Hausman's (1978) classic specification test to models whose coefficients are allowed to evolve over time. It compares an efficient estimator (e.g., OLS or GLS assuming constant parameters) with a consistent estimator from a time-varying parameter model, using the contrast between them to detect parameter instability or endogeneity in dynamic settings.
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Sources
- Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251-1271. DOI: 10.2307/1913827 ↗
- Cooley, T. F., & Prescott, E. C. (1976). Estimation in the presence of stochastic parameter variation. Econometrica, 44(1), 167-184. DOI: 10.2307/1911389 ↗