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

Jerry Hausman; James H. Stock; Motohiro Yogo

doi:10.1016/j.econlet.2005.06.007

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

Jerry Hausman, James H. Stock, Motohiro Yogo

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93 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	333-342
Number of pages	10
Journal	Economics Letters
Volume	89
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2005.06.007
State	Published - Dec 2005
Externally published	Yes

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

Keywords

Instrumental variables
Pretest
Weak identification

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10.1016/j.econlet.2005.06.007

Cite this

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title = "Asymptotic properties of the Hahn-Hausman test for weak-instruments",

abstract = "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.",

keywords = "Instrumental variables, Pretest, Weak identification",

author = "Jerry Hausman and Stock, {James H.} and Motohiro Yogo",

note = "Funding Information: We thank Gary Chamberlain and Jin Hahn for helpful discussions, and Jose Tessada for research assistance. This research was supported in part by NSF grant SBR-0214131.",

year = "2005",

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doi = "10.1016/j.econlet.2005.06.007",

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volume = "89",

pages = "333--342",

journal = "Economics Letters",

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TY - JOUR

T1 - Asymptotic properties of the Hahn-Hausman test for weak-instruments

AU - Hausman, Jerry

AU - Stock, James H.

AU - Yogo, Motohiro

N1 - Funding Information: We thank Gary Chamberlain and Jin Hahn for helpful discussions, and Jose Tessada for research assistance. This research was supported in part by NSF grant SBR-0214131.

PY - 2005/12

Y1 - 2005/12

N2 - 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.

AB - 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.

KW - Instrumental variables

KW - Pretest

KW - Weak identification

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DO - 10.1016/j.econlet.2005.06.007

M3 - Article

AN - SCOPUS:27744521034

SN - 0165-1765

VL - 89

SP - 333

EP - 342

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

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

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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