The University of Southampton
University of Southampton Institutional Repository

Testing the exogeneity assumption in panel data models with "non classical" disturbances

O'Brien, Raymond and Patacchini, Eleonora (2003) Testing the exogeneity assumption in panel data models with "non classical" disturbances , Southampton, UK University of Southampton 68pp. (Discussion Papers in Economics and Econometrics, 302).

Record type: Monograph (Discussion Paper)


This paper is concerned with the use of the Durbin-Wu-Hausman test for correlated effects with panel data. The assumptions underlying the construction of the statistic are too strong in many empirical cases. The consequences of deviations from the basic assumptions are investigated. The size distortion is assessed. In the case of measurement error, the Hausman test is found to be a test of the difference in asymptotic biases of between and within group estimators. However, its `size' is sensitive to the relative magnitude of the intra-group and inter-group variations of the covariates, and can be so large as to preclude the use of the statistic in this case. We show to what extent some assumptions can be relaxed in a panel data context and we discuss an alternative robust formulation of the test. Power considerations are presented.

PDF 0302.pdf - Version of Record
Download (649kB)

More information

Published date: 1 February 2003
Keywords: models with panel data, hausman test, minimum variance estimators, quadratic forms in normal variables, monte carlo simulations


Local EPrints ID: 33202
ISSN: 0966-4246
PURE UUID: 31095536-9315-43a5-b80f-6b6359e3d078

Catalogue record

Date deposited: 18 May 2006
Last modified: 17 Jul 2017 15:53

Export record


Author: Raymond O'Brien
Author: Eleonora Patacchini

University divisions

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.