Asymptotic properties of the Hahn-Hausman test for weak-instruments
By Jerry A. Hausman, James H. Stock, Motohiro Yogo. 2005
149 citations recorded by the source corpus.
This paper provides weak-instrument asymptotic representations of tests for instrument validity by Hahn and Hausman (HH) [Hahn, J., Hausman, J., 2002. A new specification test for the validity of instrumental variables. Econometrica, Vol. 70, pp. 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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/afcc05b01fa8ebbaf1585e734975dad910693b38
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In Economics and Econometrics
- N. Johnson
- Courtney L. Lafountain
- G. Bascle
- Pankaj C. Patel
- Melissa S. Cardon
- Steven Yamarik
- Alfredo De Massis
- John Antonakis
In Finance
Citations in the corpus
- Controlling for endogeneity with instrumental variables in strategic management research (2008, background): “Hausman et al. (2005) show the numerous specific circumstances under which the Hahn and Hausman test is problematic.”
- Corruption is bad for growth (even in the United States) (2011, background): “LIML typically has better small sample properties than 2SLS, especially with weak instruments (Hausman et al. 2005).”
- Is Stress Worth it? Stress‐Related Health and Wealth Trade‐Offs for Entrepreneurs (2015, background): “Cragg-Donald test (null hypotheses: H0: instruments are weak) is compared to the critical © 2013 International Association of Applied Psychology. value (at 5 per cent) compiled by Hausman, Stock, and Yogo (2005) and reported by ivreg2.”