I use monthly stock return data for all stocks listed on a major US exchange from January 1990 to December 2016 and utilize a Fama-MacBeth Regression with Newey-West standard errors to test the ...

The Hausman test evaluates the potential endogeneity of a regressor by examining an artificial regression that includes the residuals from a first-stage regression of the endogenous variable on the ...

Thus an alternative to using a Wald test is pursued in this article. First, define a classical quadratic test statistic that would be used if one had a simple random sample of the population. Second, ...