A new specification test for the validity of instrumental variables

Econometrica

Volumn 70, Issue 1, 2002, Pages 163-189

  Hahn, Jinyong ^a   Hausman, Jerry ^b  

^a BROWN UNIVERSITY   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

2SLS; Finite sample bias; Instrumental variable estimation; Second order approximation; Specification tests; Weak instruments

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; MATHEMATICAL MODELS; MATRIX ALGEBRA; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS; REGRESSION ANALYSIS; STATISTICAL TESTS;

FINITE SAMPLE BIAS; INSTRUMENTAL VARIABLE ESTIMATION; NAGAR TYPE ESTIMATORS; SECOND ORDER APPROXIMATION; SPECIFICATION TEST; WEAK INSTRUMENTS;

ECONOMICS;

EID: 0036220263     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00272     Document Type: Article

References (23)

1. Asymptotic expansions of the distributions of estimates in simultaneous equations for alternative parameter sequences
2. Estimation of the parameters of a single equation in a complete system of stochastic equations
3. Alternative approximations to the distributions of instrumental variable estimators
4. Problems with instrumental variables estimation when the correlation between the instruments and the endogenous explanatory variable is weak
5. Choosing the number of instruments
6. Notes on a new specification test
7. Judging instrument relevance in instrumental variables estimation
8. Simultaneous equations with errors in variables
9. Specification tests in econometrics
10. Specification and estimation of simultaneous equation models
11. Testing a subset of the overidentifying restrictions
12. The bias and moment matrix of the general k-class estimators of the parameters in simultaneous equations
13. Some further results on the exact small sample properties of the instrumental variables estimator
14. The distribution of the instrumental variables estimator and its t-ratio when the instrument is a poor one
15. A third-order optimum property of the maximum likelihood estimator
16. Addendum to: 'A third-order optimum property of the maximum likelihood estimator'
17. Asymptotic properties of some estimators in structural models
18. Econometric estimators and the edgeworth approximation
19. Instrument relevance in multivariate linear models: A simple measure
20. Instrumental variables regressions with weak instruments
21. Improved inference for the instrumental variable estimator
22. Inference on structural parameters in instrumental variables regression with weak instruments
23. Valid confidence intervals and inference in the presence of weak instruments