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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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

Cites work

• scientific article; zbMATH DE number 3874460 (Why is no real title available?)
• scientific article; zbMATH DE number 2188315 (Why is no real title available?)
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• Large Sample Properties of Generalized Method of Moments Estimators
• Mostly harmless econometrics. An empiricist's companion.
• Nonnested testing in models estimated via generalized method of moments
• The Estimation of Economic Relationships using Instrumental Variables
• The Interpretation of Instrumental Variables Estimators in Simultaneous Equations Models with an Application to the Demand for Fish

Cited in

(14)

• Instrument approval by the Sargan test and its consequences for coefficient estimation
• A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
• scientific article; zbMATH DE number 536903 (Why is no real title available?)
• Testing overidentifying restrictions with inefficient estimators
• On testing overidentifying restrictions in dynamic panel data models
• On the consequences of overstratification
• Testing overidentifying restrictions with a restricted parameter space
• Testing the fit of data and external sets via an imprecise Sargan-Hansen test
• The Local Power of the Tests of Overidentifying Restrictions
• Testing the impossible: identifying exclusion restrictions
• Efficient estimation with missing data and endogeneity
• Discriminating between (in)valid external instruments and (in)valid exclusion restrictions
• Overidentification in regular models
• A new class of tests for overidentifying restrictions in moment condition models

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