The Effect of Pseudo-Exogenous Instrumental Variables on Hausman Test
نویسندگان
چکیده
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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عنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 39 شماره
صفحات -
تاریخ انتشار 2010