Hahn–Hausman test as a specification test

Yoonseok Lee and Ryo Okui

Journal of Econometrics, 2012, vol. 167, issue 1, 133-139

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), 393–415] 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), 163–189] 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 Hahn–Hausman test detects and its power properties.

Keywords: Hahn–Hausman test; Sargan test; Many instruments; Overidentifying restrictions test; Specification test (search for similar items in EconPapers)
JEL-codes: C12 C21 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:167:y:2012:i:1:p:133-139

DOI: 10.1016/j.jeconom.2011.10.005

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