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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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File URL: http://www.sciencedirect.com/science/article/pii/S0165176511005702
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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. 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).
  2. Joshua D. Angrist & Kathryn Graddy & Guido W. Imbens, 2000. "The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish," Review of Economic Studies, Oxford University Press, vol. 67(3), pages 499-527.
  3. Angus Deaton, 2010. "Instruments, Randomization, and Learning about Development," Journal of Economic Literature, American Economic Association, vol. 48(2), pages 424-55, June.
  4. Jeffrey M. Wooldridge, 2001. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262232197, December.
  5. 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.
  6. Imbens, Guido W & Angrist, Joshua D, 1994. "Identification and Estimation of Local Average Treatment Effects," Econometrica, Econometric Society, vol. 62(2), pages 467-75, March.
  7. Ichino, Andrea & Winter-Ebmer, Rudolf, 1999. "Lower and upper bounds of returns to schooling: An exercise in IV estimation with different instruments," European Economic Review, Elsevier, vol. 43(4-6), pages 889-901, April.
  8. Rembert De Blander, 2008. "Which null hypothesis do overidentification restrictions actually test?," Economics Bulletin, AccessEcon, vol. 3(76), pages 1-9.
  9. repec:ebl:ecbull:v:3:y:2008:i:76:p:1-9 is not listed on IDEAS
  10. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  11. 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.
  12. K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
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