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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.

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ScholarlyCommons@Penn  

Autor(es)

Hausman, Jerry -  Stock, James H -  Yogo, Motohiro - 

Id.: 70515083

Versión: 1.0

Estado: Final

Tipo:  application/pdf - 

Palabras claveEconometrics - 

Tipo de recurso: Texto Narrativo  - 

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante  -  Profesor  -  Autor  - 

Estructura: Atomic

Coste: no

Copyright: sí

Formatos:  application/pdf - 

Requerimientos técnicos:  Browser: Any - 

Relación: [IsBasedOn] Finance Papers

Fecha de contribución: 28-nov-2017

Contacto:

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