Asymptotic properties of the Hahn-Hausman test for weak-instruments

被引：80

作者：

Hausman, J

Stock, JH ^{[1
]}

Yogo, M

机构：

[1] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA

[2] Harvard Univ, Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] MIT, Dept Econ, Cambridge, MA USA

[4] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

来源：

ECONOMICS LETTERS | 2005年 / 89卷 / 03期

基金：

美国国家科学基金会;

关键词：

weak identification; instrumental variables; pretest;

D O I：

10.1016/j.econlet.2005.06.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper provides weak-instrument asymptotic representations of tests for instrument validity by Hahn and Hausman's (HH) [Hahn, J., Hausman, J., 2002. A new specification test for the validity of instrumental variables. Econometrica 70, 163-189.], and uses these representations to compute asymptotic power against weak or irrelevant instruments. The HH tests were proposed as pretests, and the asymptotic properties of post-test inferences, conditional on the tests failing to reject instrument validity, are also examined. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：333 / 342

页数：10

共 50 条

[1] Hahn-Hausman test as a specification test
Lee, Yoonseok
Okui, Ryo
[J]. JOURNAL OF ECONOMETRICS, 2012, 167 (01) : 133 - 139
[2] The Hausman test and weak instruments
Hahn, Jinyong
Ham, John C.
Moon, Hyungsik Roger
[J]. JOURNAL OF ECONOMETRICS, 2011, 160 (02) : 289 - 299
[3] The weak-instruments problem in factor models
Hayakawa K.
[J]. Behaviormetrika, 2020, 47 (1) : 123 - 157
[4] THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST
Guggenberger, Patrik
[J]. ECONOMETRIC THEORY, 2010, 26 (02) : 369 - 382
[5] A Robust Test for Weak Instruments
Olea, Jose Luis Montiel
Pflueger, Carolin
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2013, 31 (03) : 358 - 369
[6] A robust test for weak instruments in Stata
Pflueger, Carolin E.
Wang, Su
[J]. STATA JOURNAL, 2015, 15 (01): : 216 - 225
[7] Correction for sample overlap, Winner's curse and weak-instruments bias in two-sample Mendelian Randomization
Mounier, Ninon
Kutalik, Zoltan
[J]. EUROPEAN JOURNAL OF HUMAN GENETICS, 2022, 30 (SUPPL 1) : 492 - 492
[8] ASYMPTOTIC PROPERTIES OF ORTHOGONAL HAHN POLYNOMIALS IN A DISCRETE VARIABLE
SHARAPUDINOV, II
[J]. MATHEMATICS OF THE USSR-SBORNIK, 1991, 68 (01): : 111 - 132
[9] A JACKKNIFE LAGRANGE MULTIPLIER TEST WITH MANY WEAK INSTRUMENTS
Matsushita, Yukitoshi
Otsu, Taisuke
[J]. ECONOMETRIC THEORY, 2024, 40 (02) : 447 - 470
[10] A conditional linear combination test with many weak instruments
Lim, Dennis
Wang, Wenjie
Zhang, Yichong
[J]. JOURNAL OF ECONOMETRICS, 2024, 238 (02)

← 1 2 3 4 5 →