Discriminating between (in)valid external instruments and (in)valid exclusion restrictions

DOI10.1515/JEM-2016-0005MaRDI QIDQ1669834zbMATH OpenOpenAlexFDO

Authors Jan F. Kiviet

Publication date 4 September 2018

Published in Journal of Econometric Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://pure.uva.nl/ws/files/20630351/jem_2016_0005.pdf

zbMATH Keywords

difference in Sargan-Hansen testsexclusion restrictionsinstrument validity testsmaintained hypothesisoveridentifying restrictions

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Applications of statistics to economics (62P20)

Recommendations

• Testing the impossible: identifying exclusion restrictions
• A cautionary note on tests of overidentifying restrictions
• Instrument approval by the Sargan test and its consequences for coefficient estimation
• A reinterpretation of the tests of overidentifying restrictions
• Testing overidentifying restrictions with many instruments and heteroskedasticity

Cites work

• A cautionary note on tests of overidentifying restrictions
• A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
• Generalized method of moments specification testing
• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• Hypothesis Testing with Efficient Method of Moments Estimation
• Large Sample Properties of Generalized Method of Moments Estimators
• Microeconometrics
• On adding over-identifying instrumental variables to simultaneous equations
• The Estimation of Economic Relationships using Instrumental Variables

Cited in

(5)

• When is it really justifiable to ignore explanatory variable endogeneity in a regression model?
• Instrument approval by the Sargan test and its consequences for coefficient estimation
• Testing the impossible: identifying exclusion restrictions
• A cautionary note on tests of overidentifying restrictions
• Testing the validity of instrumental variables in just-identified linear non-Gaussian models

Describes a project that uses

Uses Software

• Stata
• ivreg2

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