Asymptotic Properties of the Hahn-Hausman Test for Weak Instruments
15 Pages Posted: 5 Jan 2011 Last revised: 7 Jan 2011
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: Suggested Citation
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