A cautionary note on tests of overidentifying restrictions

DOI10.1016/j.econlet.2011.12.047zbMath1241.62178OpenAlexW1977332555WikidataQ57933948 ScholiaQ57933948MaRDI QIDQ433204

Paulo M. D. C. Parente, J. M. C. Santos Silva

Publication date: 13 July 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://people.exeter.ac.uk/RePEc/dpapers/DP1111.pdf

zbMATH Keywords

GMMinstrumental variablesHansen's \(J\)-testSargan test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items

Discriminating between (in)valid external instruments and (in)valid exclusion restrictions ⋮ Efficient estimation with missing data and endogeneity ⋮ Testing the impossible: identifying exclusion restrictions ⋮ Instrument approval by the Sargan test and its consequences for coefficient estimation ⋮ Testing overidentifying restrictions with a restricted parameter space

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