A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters

Patrik Guggenberger

Economics Letters, 2012, vol. 117, issue 3, 901-904

Abstract: In the linear instrumental variables model, we characterize fixed alternatives against which the test of overidentifying restrictions (OR) is inconsistent. When there is the notion of a “true parameter”, we relate this inconsistency result to the literature on optimality properties of various versions of the test of OR.

Keywords: Nonexogenous instruments; Pretest; Pseudo-true parameter vector; Test of overidentifying restrictions (search for similar items in EconPapers)
JEL-codes: C1 C12 C2 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:3:p:901-904

DOI: 10.1016/j.econlet.2012.07.008

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