A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters

In the linear instrumental variables model, we characterize fixed alternatives against which the test of overidentifying restrictions (OR) is inconsistent. When there is the notion of a “true parameter”, we relate this inconsistency result to the literature on optimality properties of various versions of the test of OR.

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Year of publication:	2012
Authors:	Guggenberger, Patrik
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 3, p. 901-904
Publisher:	Elsevier
Subject:	Nonexogenous instruments \| Pretest \| Pseudo-true parameter vector \| Test of overidentifying restrictions

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Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041636