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This paper provides weak-instrument asymptotic representations of tests for instrument validity by Hahn and Hausman's (HH) [Hahn, J., Hausman, J., 2002. A new specification test for the validity of instrumental variables. Econometrica 70, 163–189.], and uses these representations to compute asymptotic power against weak or irrelevant instruments. The HH tests were proposed as pretests, and the asymptotic properties of post-test inferences, conditional on the tests failing to reject instrument validity, are also examined.
© 2005. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.
Hausman, J., Stock, J. H., & Yogo, M. (2005). Asymptotic Properties of the Hahn–Hausman Test for Weak-Instruments. Economics Letters, 89 (3), 333-342. http://dx.doi.org/10.1016/j.econlet.2005.06.007
Date Posted: 27 November 2017
This document has been peer reviewed.