A cautionary note on tests of overidentifying restrictions
AbstractIn this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 115 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ecolet
GMM; Hansen’s J-test; Instrumental variables; Sargan test;
Other versions of this item:
- Paulo M.D.C. Parente & J.M.C. Santos Silva, 2011. "A cautionary note on tests for overidentifying restrictions," Economics Discussion Papers 699, University of Essex, Department of Economics.
- Paulo M.D.C. Parente & Joao M.C. Santos Silva, 2011. "A Cautionary Note on Tests for Overidentifying Restrictions," Discussion Papers 1111, Exeter University, Department of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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