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A cautionary note on tests of overidentifying restrictions

  • Parente, Paulo M.D.C.
  • Santos Silva, J.M.C.

In 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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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 2 ()
Pages: 314-317

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:2:p:314-317
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Ichino, Andrea & Winter-Ebmer, Rudolf, 1998. "Lower and Upper Bounds of Returns to Schooling: An Exercise in IV estimation with Different Instruments," CEPR Discussion Papers 2007, C.E.P.R. Discussion Papers.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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  4. Hall, Alastair R., 2004. "Generalized Method of Moments," OUP Catalogue, Oxford University Press, number 9780198775201.
  5. Alastair R. Hall & Atsushi Inoue, 2005. "The Large Sample Behaviour of the Generalized Method of Moments Estimator in Misspecified Models," Econometrics 0505002, EconWPA.
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  7. Hall, Alastair R. & Pelletier, Denis, 2011. "Nonnested Testing In Models Estimated Via Generalized Method Of Moments," Econometric Theory, Cambridge University Press, vol. 27(02), pages 443-456, April.
  8. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
  9. Angrist, Joshua D & Graddy, Kathryn & Imbens, Guido W, 2000. "The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish," Review of Economic Studies, Wiley Blackwell, vol. 67(3), pages 499-527, July.
  10. Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 111-132, Fall.
  11. Rembert De Blander, 2008. "Which null hypothesis do overidentification restrictions actually test?," Economics Bulletin, AccessEcon, vol. 3(76), pages 1-9.
  12. Holmlund, Helena & Lindahl, Mikael & Plug, Erik, 2008. "The Causal Effect of Parent's Schooling on Children's Schooling: A Comparison of Estimation Methods," IZA Discussion Papers 3630, Institute for the Study of Labor (IZA).
  13. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, June.
  14. repec:ebl:ecbull:v:3:y:2008:i:76:p:1-9 is not listed on IDEAS
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