Hahn–Hausman test as a specification test

A-Tier
Journal: Journal of Econometrics
Year: 2012
Volume: 167
Issue: 1
Pages: 133-139

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper develops a modified version of the Sargan [Sargan, J.D., 1958. The estimation of economic relationships using instrumental variables. Econometrica 26 (3), 393–415] restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman [Hahn, J., Hausman, J., 2002. A new specification test for the validity of instrumental variables. Econometrica 70 (1), 163–189] up to a sign. The modified Sargan test is constructed such that its asymptotic distribution under the null hypothesis of correct specification is standard normal when the number of instruments increases with the sample size. The equivalence result is useful in understanding what the Hahn–Hausman test detects and its power properties.

Technical Details

RePEc Handle
repec:eee:econom:v:167:y:2012:i:1:p:133-139
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25