THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST
研究了在线性工具变量模型中，先用豪斯曼检验作为预检验判断变量外生性，再根据结果选择OLS或2SLS进行第二阶段假设检验的两阶段方法的渐近规模，发现该方法在参数空间常见取值下渐近规模为1，存在严重扭曲。
This paper investigates the asymptotic size properties of a two-stage test in the linear instrumental variables model when in the first stage a Hausman (1978) specification test is used as a pretest of exogeneity of a regressor. In the second stage, a simple hypothesis about a component of the structural parameter vector is tested, using a t -statistic that is based on either the ordinary least squares (OLS) or the two-stage least squares estimator (2SLS), depending on the outcome of the Hausman pretest. The asymptotic size of the two-stage test is derived in a model where weak instruments are ruled out by imposing a positive lower bound on the strength of the instruments. The asymptotic size equals 1 for empirically relevant choices of the parameter space. The size distortion is caused by a discontinuity of the asymptotic distribution of the test statistic in the correlation parameter between the structural and reduced form error terms. The Hausman pretest does not have sufficient power against correlations that are local to zero while the OLS-based t -statistic takes on large values for such nonzero correlations. Instead of using the two-stage procedure, the recommendation then is to use a t -statistic based on the 2SLS estimator or, if weak instruments are a concern, the conditional likelihood ratio test by Moreira (2003).