Search Results - subject:"Overidentifying restrictions"

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On Testing Overidentifying Restrictions in Dynamic Panel Data Models

Bowsher, Clive - Department of Economics, Oxford University - 2000

The conventional Sargan (1958)/Hansen (1982) test of overidentifying restrictions and the Tilting Parameter test of …

Persistent link: https://www.econbiz.de/10010605004

Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Centre for Economic Reform and Transformation, School … - 2007

We extend our 2003 paper on instrumental variables (IV) and GMM estimation and testing and describe enhanced routines that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and autocorrelation tests for IV estimates.

Persistent link: https://www.econbiz.de/10005292582

Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

Saikkonen, Pentti - In: Econometric Reviews 18 (1999) 3, pp. 235-257

cointegrating vectors in the context of a vector autoregressive model. In addition to overidentifying restrictions the considered … overidentifying restrictions. … distribution", similar to that obtained for the likelihood ratio test for cointegration, while tests for overidentifying …

Persistent link: https://www.econbiz.de/10005644482