Hahn-Hausman Test as a Specification Test∗
نویسندگان
چکیده
This paper develops a modified version of the Sargan (1958, Econometrica 26(3): 393-415) test statistic of overidentifying restrictions, and shows that it is numerically equivalent to the test statistic of Hahn and Hausman (2002, 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.
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تاریخ انتشار 2011