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A cautionary note on tests of overidentifying restrictions

Paulo Parente () and João Santos Silva ()

Economics Letters, 2012, vol. 115, issue 2, 314-317

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.

Keywords: GMM; Hansen’s J-test; Instrumental variables; Sargan test (search for similar items in EconPapers)
JEL-codes: C12 C13 C51 C52 (search for similar items in EconPapers)
Date: 2012
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Working Paper: A cautionary note on tests for overidentifying restrictions (2011) Downloads
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