| Asymptotic properties of the Hahn–Hausman test for weak-instruments |
| Jerry Hausman |
| 关键词：Weak identification; Instrumental variables; Pretest |
| 主要内容：This paper provides weak-instrument asymptotic representations of tests for instrument validity by Hahn and Hausman’s (HH) [Hahn, J., Hausman, J., 2002. A new specification test for the validity of instrumental variables.Econometrica 70, 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... |
| 《2005 Elsevier》 |
| 全文下载请进入http://hightech.stlib.cn/tpi_1/sysasp/include/index.asp |
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