The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test

Jeong, Jinook and Yoon, Byung (2007): The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Hausman test, endogeneity, instrumental variable
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

References

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