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The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test

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Author Info
Jeong, Jinook
Yoon, Byung

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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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Publisher 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;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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  1. 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. [Downloadable!] (restricted)
  2. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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