The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test

Jinook Jeong and Byung Yoon

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Hausman test; endogeneity; instrumental variable (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2007-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:9792

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