Hahn-Hausman test as a specification test

DOI10.1016/J.JECONOM.2011.10.005zbMATH Open1441.62791OpenAlexW1982595910MaRDI QIDQ738140FDOQ738140

Authors: Yoonseok Lee, Ryo Okui 

Publication date: 15 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.005

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zbMATH Keywords

specification testoveridentifying restrictions testSargan testmany instrumentsHahn-Hausman test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Instrumental Variables Regression with Weak Instruments
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Generalized method of moments specification testing
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• The Estimation of Economic Relationships using Instrumental Variables
• Generalized Method of Moments With Many Weak Moment Conditions
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• GMM with Weak Identification
• GMM with Many Moment Conditions
• A New Specification Test for the Validity of Instrumental Variables
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Testing with many weak instruments
• Many instruments asymptotic approximations under nonnormal error distributions
• Inference in regression models with many regressors
• Specification testing in models with many instruments

Cited In (12)

• The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
• Asymptotic properties of the Hahn-Hausman test for weak-instruments
• Increasing the power of specification tests
• Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory
• Minimum distance approach to inference with many instruments
• Testing many restrictions under heteroskedasticity
• Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
• Instrumental variable model average with applications in Mendelian randomization
• A robust test of exogeneity based on quantile regressions
• Inference in instrumental variable models with heteroskedasticity and many instruments
• Testing endogeneity with high dimensional covariates
• ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS

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