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The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test

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  • Jeong, Jinook
  • Yoon, Byung

Abstract

This paper investigates the potential problem of ‘pseudo-exogenous’ instruments in regression models. We show that the performance of Hausman test is deteriorated when the instruments are asymptotically exogenous but endogenous in finite samples, through Monte Carlo simulations.

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File URL: http://mpra.ub.uni-muenchen.de/9792/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9792.

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Date of creation: Apr 2007
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Handle: RePEc:pra:mprapa:9792

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Related research

Keywords: Hausman test; endogeneity; instrumental variable;

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References

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  1. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  2. Maddala, G S & Jeong, Jinook, 1992. "On the Exact Small Sample Distribution of the Instrumental Variable Estimator," Econometrica, Econometric Society, vol. 60(1), pages 181-83, January.
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Cited by:
  1. Jan F. KIVIET & Milan PLEUS, 2012. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Economic Growth centre Working Paper Series 1208, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  2. Doko Tchatoka, Firmin & Dufour, Jean-Marie, 2012. "Identification-robust inference for endogeneity parameters in linear structural models," MPRA Paper 40695, University Library of Munich, Germany.

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