Hahn-Hausman test as a specification test

Yoonseok Lee, Ryo Okui

Research output: Contribution to journalArticle

9 Scopus citations

Abstract

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393415] 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), 163189] 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 HahnHausman test detects and its power properties.

Original languageEnglish (US)
Pages (from-to)133-139
Number of pages7
JournalJournal of Econometrics
Volume167
Issue number1
DOIs
StatePublished - Mar 2012
Externally publishedYes

    Fingerprint

Keywords

  • HahnHausman test
  • Many instruments
  • Overidentifying restrictions test
  • Sargan test
  • Specification test

ASJC Scopus subject areas

  • Economics and Econometrics
  • Applied Mathematics
  • History and Philosophy of Science

Cite this