The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test

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.

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Year of publication:	2007-04
Authors:	Jeong, Jinook ; Yoon, Byung

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Jeong, Jinook and Yoon, Byung (2007): The Effect of Pseudo-exogenous Instrumental Variables on Hausman Test.
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	BASE

Persistent link: https://www.econbiz.de/10015266159