A cautionary note on tests of overidentifying restrictions

DOI10.1016/J.ECONLET.2011.12.047zbMATH Open1241.62178OpenAlexW1977332555WikidataQ57933948 ScholiaQ57933948MaRDI QIDQ433204FDOQ433204

Authors: Paulo M. D. C. Parente, J. M. C. Santos Silva 

Publication date: 13 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://people.exeter.ac.uk/RePEc/dpapers/DP1111.pdf

Recommendations

• Testing overidentifying restrictions with a restricted parameter space
• A reinterpretation of the 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
• Discriminating between (in)valid external instruments and (in)valid exclusion restrictions
• scientific article; zbMATH DE number 536903

zbMATH Keywords

instrumental variablesGMMHansen's \(J\)-testSargan test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Mostly harmless econometrics. An empiricist's companion.
• Generalized method of moments specification testing
• Econometric analysis of cross section and panel data.
• The Estimation of Economic Relationships using Instrumental Variables
• Identification and Estimation of Local Average Treatment Effects
• The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonnested testing in models estimated via generalized method of moments

Cited In (12)

• On testing overidentifying restrictions in dynamic panel data models
• Efficient estimation with missing data and endogeneity
• Testing the fit of data and external sets via an imprecise Sargan-Hansen test
• On the consequences of overstratification
• Title not available (Why is that?)
• Instrument approval by the Sargan test and its consequences for coefficient estimation
• Testing the impossible: identifying exclusion restrictions
• Discriminating between (in)valid external instruments and (in)valid exclusion restrictions
• Testing overidentifying restrictions with inefficient estimators
• A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
• The Local Power of the Tests of Overidentifying Restrictions
• Testing overidentifying restrictions with a restricted parameter space

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