A Cautionary Note on Tests for Overidentifying Restrictions

Tests of overidentifying restrictions are widely used in practice. However, there is often confusion about the nature of their null hypothesis and about the interpretation of their outcome. In this note we argue that these tests give little information on whether the instruments are correlated with the errors of the underlaying economic model and on whether they identify parameters of interest.

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Year of publication:	2011
Authors:	Parente, Paulo M.D.C. ; Silva, Joao M.C. Santos
Institutions:	Business School, University of Exeter
Subject:	GMM \| Hansen's J-test \| Instrumental variables \| Sargan test

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1111
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009357955