Econometric Inference Using Hausman Instruments

Jinyong Hahn, Zhipeng Liao (), Nan Liu () and Ruoyao Shi ()
Additional contact information
Zhipeng Liao: UCLA
Nan Liu: Xiamen University
Ruoyao Shi: Department of Economics, University of California Riverside

No 202405, Working Papers from University of California at Riverside, Department of Economics

Abstract: We examine econometric inferential issues with Hausman instruments. The instrumental variable (IV) estimator based on Hausman instrument has a built-in correlation across observations, which may render the textbook-style standard error invalid. We develop a standard error that is robust to these problems. Clustered standard error is not always valid, but it can be a good pragmatic compromise to deal with the interlinkage problem if Hausman instrument is to be used in econometric models in the tradition of Berry, Levinsohn, and Pakes (1995).

Keywords: BLP; Hausman instrument Judge instrument; Stable convergence; Uniformly valid inference (search for similar items in EconPapers)
JEL-codes: C14 C33 C36 (search for similar items in EconPapers)
Pages: 63 Pages
Date: 2024-10
New Economics Papers: this item is included in nep-ecm
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Working Paper: Econometric Inference Using Hausman Instruments (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:ucr:wpaper:202405

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