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A cautionary note on tests of overidentifying restrictions

Parente, Paulo M D C and Santos Silva, Joao M C (2012) 'A cautionary note on tests of overidentifying restrictions.' Economics Letters, 115 (2). pp. 314-317. ISSN 0165-1765

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Abstract

In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.

Item Type: Article
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 Mar 2013 15:40
Last Modified: 07 Mar 2013 15:40
URI: http://repository.essex.ac.uk/id/eprint/5783

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