The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test
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.
|Date of creation:||Apr 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Hausman, Jerry, 2015.
"Specification tests in econometrics,"
Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
- Wong, Ka-fu, 1996. "Bootstrapping Hausman's exogeneity test," Economics Letters, Elsevier, vol. 53(2), pages 139-143, November.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:9792. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.