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

Jerry Hausman, James H. Stock, Motohiro Yogo

Research output: Contribution to journalArticle

56 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 languageEnglish (US)
Pages (from-to)333-342
Number of pages10
JournalEconomics Letters
Volume89
Issue number3
DOIs
StatePublished - Dec 2005
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Keywords

  • Instrumental variables
  • Pretest
  • Weak identification

Fingerprint Dive into the research topics of 'Asymptotic properties of the Hahn-Hausman test for weak-instruments'. Together they form a unique fingerprint.

  • Cite this