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A cautionary note on tests of overidentifying restrictions

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

Abstract

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.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:ecolet:v:115:y:2012:i:2:p:314-317
    DOI: 10.1016/j.econlet.2011.12.047
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    2. Felbermayr, Gabriel & Gröschl, Jasmin, 2013. "Natural disasters and the effect of trade on income: A new panel IV approach," European Economic Review, Elsevier, vol. 58(C), pages 18-30.
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    4. Picchio, Matteo & van Ours, Jan C., 2016. "Gender and the effect of working hours on firm-sponsored training," Journal of Economic Behavior & Organization, Elsevier, vol. 125(C), pages 192-211.
    5. Kiviet Jan F., 2017. "Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-9, January.
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    10. Jasmin Katrin Gröschl, 2013. "Gravity Model Applications and Macroeconomic Perspectives," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 48.
    11. Cassar, Gavin & Ittner, Christopher D. & Cavalluzzo, Ken S., 2015. "Alternative information sources and information asymmetry reduction: Evidence from small business debt," Journal of Accounting and Economics, Elsevier, vol. 59(2), pages 242-263.
    12. Frank Windmeijer, 2017. "Two-Stage Least Squares as Minimum Distance," Bristol Economics Discussion Papers 17/683, Department of Economics, University of Bristol, UK.
    13. repec:kap:jrefec:v:55:y:2017:i:2:d:10.1007_s11146-016-9555-2 is not listed on IDEAS
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    15. Chris Rohlfs & Ryan Sullivan & Thomas J. Kniesner, 2016. "Reducing risks in wartime through capital-labor substitution: Evidence from World War II," Journal of Risk and Uncertainty, Springer, vol. 52(2), pages 163-190, April.
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    18. Volpe Martincus, Christian & Carballo, Jerónimo & Cusolito, Ana, 2017. "Roads, exports and employment: Evidence from a developing country," Journal of Development Economics, Elsevier, vol. 125(C), pages 21-39.
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    20. Sedigh, Golnaz & Devlin, Rose Anne & Grenier, Gilles & Deri Armstrong, Catherine, 2017. "Revisiting the relationship between wages and sleep duration: The role of insomnia," Economics & Human Biology, Elsevier, vol. 24(C), pages 125-139.

    More about this item

    Keywords

    GMM; Hansen’s J-test; Instrumental variables; Sargan test;

    JEL classification:

    • 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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