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

DOI10.1016/j.econlet.2005.06.007zbMath1255.62352OpenAlexW3121264050MaRDI QIDQ1928716

James H. Stock, Motohiro Yogo, Jerry A. Hausman

Publication date: 3 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.06.007

zbMATH Keywords

instrumental variablesweak identificationpretest

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Related Items

An identification and testing strategy for proxy-SVARs with weak proxies ⋮ Testing the adequacy of conventional asymptotics in GMM ⋮ A Hausman test for the presence of market microstructure noise in high frequency data ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ Hahn-Hausman test as a specification test ⋮ Moment and IV Selection Approaches: A Comparative Simulation Study

Cites Work

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• Estimation with weak instruments: Accuracy of higher‐order bias and MSE approximations
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Some Properties of a Modification of the Limited Information Estimator
• Instrumental Variables Regression with Weak Instruments
• Choosing the Number of Instruments
• A New Specification Test for the Validity of Instrumental Variables

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