Hahn-Hausman test as a specification test

DOI10.1016/j.jeconom.2011.10.005zbMath1441.62791OpenAlexW1982595910MaRDI QIDQ738140

Yoonseok Lee, Ryo Okui

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.10.005

zbMATH Keywords

many instrumentsspecification testoveridentifying restrictions testSargan testHahn-Hausman test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Related Items (7)

ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS ⋮ A robust test of exogeneity based on quantile regressions ⋮ Testing many restrictions under heteroskedasticity ⋮ Exogeneity tests, incomplete models, weak identification and non-Gaussian distributions: invariance and finite-sample distributional theory ⋮ Minimum distance approach to inference with many instruments ⋮ Testing Endogeneity with High Dimensional Covariates ⋮ INFERENCE IN INSTRUMENTAL VARIABLE MODELS WITH HETEROSKEDASTICITY AND MANY INSTRUMENTS

Cites Work

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• SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
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• The Estimation of Economic Relationships using Instrumental Variables
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• Generalized Method of Moments With Many Weak Moment Conditions
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• GMM with Weak Identification
• GMM with Many Moment Conditions
• A New Specification Test for the Validity of Instrumental Variables
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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