Comparer des méthodes

	Test de Hausman à paramètres variant dans le temps	Modèle d'espace d'états (Filtre de Kalman)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1978 (Hausman); TVP extension developed through 1980s–2000s	1990
Auteur d'origine	Hausman (1978) specification test framework extended to time-varying parameter settings	Harvey; Durbin & Koopman (state space treatment); Kalman filter
Type	Specification / endogeneity test	State space time series model
Source fondatrice	Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251-1271.	Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press.
Alias	TVP Hausman test, time-varying Hausman specification test, Hausman test with time-varying parameters, TVP endogeneity test	state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter)
Apparentées	3	4
Résumé	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.	A state space model is a general time series framework that describes a series through unobserved (latent) state variables linked by a measurement equation and a transition equation, with the states estimated in real time by the Kalman filter. Developed in the state space tradition of Harvey (1990) and Durbin & Koopman (2012), it nests ARIMA and exponential smoothing as special cases.