Asymptotic Properties of the Hahn-Hausman Test for Weak Instruments

15 Pages Posted: 5 Jan 2011 Last revised: 7 Jan 2011

See all articles by Jerry A. Hausman

Jerry A. Hausman

Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)

James H. Stock

Harvard University - Department of Economics; National Bureau of Economic Research (NBER); Harvard University - Harvard Kennedy School (HKS)

Motohiro Yogo

Princeton University - Department of Economics; National Bureau of Economic Research

Date Written: January 1, 2004

Abstract

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.

Keywords: Weak identification, Instrumental variables, Pretest

JEL Classification: C12, C20

Suggested Citation

Hausman, Jerry A. and Stock, James H. and Yogo, Motohiro, Asymptotic Properties of the Hahn-Hausman Test for Weak Instruments (January 1, 2004). Economics Letters, Vol. 89, No. 3, 2005, Available at SSRN: https://ssrn.com/abstract=1735002

Jerry A. Hausman

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

50 Memorial Drive
Room E52-271a
Cambridge, MA 02142
United States
617-253-3644 (Phone)
617-253-1330 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

James H. Stock

Harvard University - Department of Economics ( email )

Littauer Center
Cambridge, MA 02138
United States
617-496-0502 (Phone)
617-496-5960 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Harvard University - Harvard Kennedy School (HKS) ( email )

79 John F. Kennedy Street
Cambridge, MA 02138
United States

Motohiro Yogo (Contact Author)

Princeton University - Department of Economics ( email )

Julis Romo Rabinowitz Building
Princeton, NJ 08544
United States

HOME PAGE: http://sites.google.com/site/motohiroyogo/

National Bureau of Economic Research

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
123
Abstract Views
1,440
Rank
412,003
PlumX Metrics