The Hausman test and weak instruments

DOI10.1016/J.JECONOM.2010.09.009MaRDI QIDQ737285zbMATH OpenOpenAlexFDO

Authors Jinyong Hahn, John C. Ham, Hyungsik Roger Moon

Publication date 10 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.09.009

zbMATH Keywords

Hausman testweak instruments

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20)

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Cites work

• A Conditional Likelihood Ratio Test for Structural Models
• A New Specification Test for the Validity of Instrumental Variables
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Choosing the Number of Instruments
• End-of-Sample Instability Tests
• Instrumental Variables Regression with Weak Instruments
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Specification Tests in Econometrics
• The Hausman test and weak instruments
• The impact of a Hausman pretest on the asymptotic size of a hypothesis test

Cited in

(20)

• The Hausman test and weak instruments
• The impact of a Hausman pretest on the size of a hypothesis test: the panel data case
• Instrument approval by the Sargan test and its consequences for coefficient estimation
• Increasing the power of specification tests
• Alternative ways of obtaining Hausman's test using artificial regressions
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• A weak instrument \(F\)-test in linear IV models with multiple endogenous variables
• On the validity of Durbin-Wu-Hausman tests for partial exogeneity with weak identification
• Are ``nearly exogenous instruments reliable?
• A Hausman test with trending data
• Testing endogeneity with high dimensional covariates
• Near exogeneity, weak identification and specification testing: Some asymptotic results
• The effect of pseudo-exogenous instrumental variables on Hausman test
• The impact of a Hausman pretest on the asymptotic size of a hypothesis test
• Tests with correct size when instruments can be arbitrarily weak
• On the relevance of weaker instruments
• On bootstrap validity for specification tests with weak instruments
• Testing for weak identification in possibly nonlinear models
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• Linear model IV estimation when instruments are many or weak

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