Discriminating between (in)valid external instruments and (in)valid exclusion restrictions

DOI10.1515/jem-2016-0005zbMath1400.62323OpenAlexW2282048417MaRDI QIDQ1669834

Jan F. Kiviet

Publication date: 4 September 2018

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://pure.uva.nl/ws/files/20630351/jem_2016_0005.pdf

zbMATH Keywords

overidentifying restrictionsdifference in Sargan-Hansen testsexclusion restrictionsinstrument validity testsmaintained hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

Related Items (3)

When is it really justifiable to ignore explanatory variable endogeneity in a regression model? ⋮ Testing the impossible: identifying exclusion restrictions ⋮ Instrument approval by the Sargan test and its consequences for coefficient estimation

Uses Software

• Stata
• ivreg2

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• A cautionary note on tests of overidentifying restrictions
• On adding over-identifying instrumental variables to simultaneous equations
• Generalized method of moments specification testing
• A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
• The Estimation of Economic Relationships using Instrumental Variables
• Hypothesis Testing with Efficient Method of Moments Estimation
• Microeconometrics

This page was built for publication: Discriminating between (in)valid external instruments and (in)valid exclusion restrictions