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Advances in Econometrics is a series of research volumes first published in 1982 by JAI Press. The authors present an update to the history of the Advances in Econometrics series. The initial history, published in 2012 for the 30th Anniversary Volume, describes key events in the history of the series and provides information about key authors and contributors to Advances in Econometrics. The authors update the original history and discuss significant changes that have occurred since 2012. These changes include the addition of five new Senior Co-Editors, seven new AIE Fellows, an expansion of the AIE conferences throughout the United States and abroad, and the increase in the number of citations for the series from 7,473 in 2012 to over 25,000 by 2022.

The Hausman test is used in applied economic work as a test of misspecification. It is most commonly thought of as a test of whether one or more explanatory variables in a regression model are endogenous. The usual Hausman contrast test requires one estimator to be efficient under the null hypothesis. If data are heteroskedastic, the least squares estimator is no longer efficient. The first option is to estimate the covariance matrix of the difference of the contrasted estimators, as suggested by Hahn, Ham, and Moon (2011). Other options for carrying out a Hausman-like test in this case include estimating an artificial regression and using robust standard errors. Alternatively, we might seek additional power by estimating the artificial regression using feasible generalized least squares. Finally, we might stack moment conditions leading to the two estimators and estimate the resulting system by GMM. We examine these options in a Monte Carlo experiment. We conclude that the test based on the procedure by Hahn, Ham, and Moon has good properties. The generalized least squares-based tests have higher size-corrected power when heteroskedasticity is detected in the DWH regression, and the heteroskedasticity is associated with a strong external IV. We do not consider the properties of the implied pretest estimator.

Advances in Econometrics is a series of research annuals first published in 1982 by JAI Press. In this paper, we present a brief history of the series over its first 30 years. We describe key events in the history of the volume, and give information about the key contributors: editors, editorial board members, Advances in Econometrics Fellows, and authors who have contributed to the great success of the series.