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Which null hypothesis do overidentification restrictions actually test?

Author

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  • Rembert De Blander

    (EcRu, U.C.Louvain and CES, K.U.Leuven)

Abstract

In this note I investigate which alternatives are detected by over-identifying restrictions tests, when we test the null hypothesis that all excluded instruments are exogenous. A reformulated null hypothesis will result in a consistent test.

Suggested Citation

  • Rembert De Blander, 2008. "Which null hypothesis do overidentification restrictions actually test?," Economics Bulletin, AccessEcon, vol. 3(76), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-08c20068
    as

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    File URL: http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C20068A.pdf
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    References listed on IDEAS

    as
    1. Magdalinos, Michael A, 1988. "The Local Power of the Tests of Overidentifying Restrictions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(3), pages 509-524, August.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. John Shea, 1997. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 348-352, May.
    4. Vaart,A. W. van der, 2000. "Asymptotic Statistics," Cambridge Books, Cambridge University Press, number 9780521784504.
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    Cited by:

    1. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
    2. Guevara, C. Angelo, 2018. "Overidentification tests for the exogeneity of instruments in discrete choice models," Transportation Research Part B: Methodological, Elsevier, vol. 114(C), pages 241-253.
    3. Parente, Paulo M.D.C. & Santos Silva, J.M.C., 2012. "A cautionary note on tests of overidentifying restrictions," Economics Letters, Elsevier, vol. 115(2), pages 314-317.
    4. Guevara, C. Angelo, 2015. "Critical assessment of five methods to correct for endogeneity in discrete-choice models," Transportation Research Part A: Policy and Practice, Elsevier, vol. 82(C), pages 240-254.
    5. Berlingieri, Francesco & Zierahn, Ulrich, 2014. "Field of study, qualification mismatch, and wages: Does sorting matter?," ZEW Discussion Papers 14-076, ZEW - Leibniz Centre for European Economic Research.

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    More about this item

    Keywords

    IV estimation;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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