Specification Test for Instrumental Variables Regression with Many Instruments∗
نویسندگان
چکیده
This paper considers specification testing for instrumental variables estimation in the presence of many instruments. The test is similar to the overidentifying restrictions test of Sargan (1958) but the test statistic asymptotically follows the standard normal distribution under the null hypothesis when the number of instruments is proportional to the sample size. It turns out that the new test is equivalent to the test proposed by Hahn and Hausman (2002) for the scalar endogenous regressor case.
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