Hahn-Hausman test as a specification test
From MaRDI portal
Publication:738140
DOI10.1016/j.jeconom.2011.10.005zbMath1441.62791OpenAlexW1982595910MaRDI QIDQ738140
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
Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)
Related Items
ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS, A robust test of exogeneity based on quantile regressions, Testing many restrictions under heteroskedasticity, 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 Endogeneity with High Dimensional Covariates, INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
- Testing with many weak instruments
- Inference in regression models with many regressors
- On the asymptotic optimality of the LIML estimator with possibly many instruments
- Generalized method of moments specification testing
- Asymptotic properties of the Hahn-Hausman test for weak-instruments
- Testing overidentifying restrictions with many instruments and heteroskedasticity
- SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- The Estimation of Economic Relationships using Instrumental Variables
- MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS
- 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
- Instrumental Variables Regression with Weak Instruments
- GMM with Weak Identification
- GMM with Many Moment Conditions
- A New Specification Test for the Validity of Instrumental Variables
- On the asymptotic distribution of the Moran \(I\) test stastistic with applications