Hahn-Hausman test as a specification test

被引：23

作者：

Lee, Yoonseok ^{[1
]}

Okui, Ryo ^{[2
]}

机构：

[1] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA

[2] Kyoto Univ, Inst Econ Res, Sakyo Ku, Kyoto 606850, Japan

来源：

JOURNAL OF ECONOMETRICS | 2012年 / 167卷 / 01期

关键词：

Hahn-Hausman test; Sargan test; Many instruments; Overidentifying restrictions test; Specification test; GENERALIZED-METHOD; CLASS ESTIMATORS; MOMENTS; APPROXIMATIONS; DISTRIBUTIONS;

D O I：

10.1016/j.jeconom.2011.10.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393-415] restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman [Hahn, J., Hausman, J., 2002. A new specification test for the validity of instrumental variables. Econometrica 70 (1), 163-189] up to a sign. The modified Sargan test is constructed such that its asymptotic distribution under the null hypothesis of correct specification is standard normal when the number of instruments increases with the sample size. The equivalence result is useful in understanding what the Hahn-Hausman test detects and its power properties. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：133 / 139

页数：7

共 22 条

[1]

Anatolyev S., 2012, J ECONOMETR IN PRESS

[2] SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS [J].