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.
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页码：333 / 342
页数：10
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