Testing overidentifying restrictions with inefficient estimators

DOI10.1016/0165-1765(87)90011-5MaRDI QIDQ900014zbMATH OpenOpenAlexFDO

Authors Keith Hylton

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(87)90011-5

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• A reinterpretation of the tests of overidentifying restrictions
• A cautionary note on tests of overidentifying restrictions
• Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
• Testing overidentifying restrictions with a restricted parameter space
• scientific article; zbMATH DE number 536903
• Testing overidentifying restrictions with many instruments and heteroskedasticity
• A new class of tests for overidentifying restrictions in moment condition models
• Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
• On testing overidentifying restrictions in dynamic panel data models

Cites work

• scientific article; zbMATH DE number 3257775 (Why is no real title available?)
• A note on the inefficiency of non-linear estimators
• Large Sample Properties of Generalized Method of Moments Estimators

Cited in

(7)

• Testing exogeneity in overidentified models
• 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?)
• A note on the inefficiency of non-linear estimators
• Testing overidentifying restrictions with a restricted parameter space
• Covariance matrix estimation and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
• Testing overidentifying restrictions with many instruments and heteroskedasticity

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