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A Cautionary Note on Tests for Overidentifying Restrictions

Parente, Paulo M D C and Santos Silva, Joao M C (2011) A Cautionary Note on Tests for Overidentifying Restrictions. Working Paper. Exeter University, Department of Economics Discussion Papers.

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Tests of overidentifying restrictions are widely used in practice. However, there is often confusion about the nature of their null hypothesis and about the interpretation of their outcome. In this note we argue that these tests give little information on whether the instruments are correlated with the errors of the underlaying economic model and on whether they identify parameters of interest.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: GMM; Hansen's J-test; Instrumental variables; Sargan test.
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Aug 2012 09:48
Last Modified: 07 Aug 2012 09:48

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