A cautionary note on tests of overidentifying restrictions

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

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Year of publication:	2012
Authors:	Parente, Paulo M.D.C. ; Santos Silva, J.M.C.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 2, p. 314-317
Publisher:	Elsevier
Subject:	GMM \| Hansen’s J-test \| Instrumental variables \| Sargan test

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

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