Testing overidentifying restrictions with a restricted parameter space

Philipp Ketz

Economics Letters, 2019, vol. 185, issue C

Abstract: We show that the standard test for testing overidentifying restrictions, which compares the J-statistic (Hansen, 1982) to χ2 critical values, does not control asymptotic size when the true parameter vector is allowed to lie on the boundary of the (optimization) parameter space. We also propose a modified J-statistic that, under the null hypothesis, is asymptotically χ2 distributed, such that the resulting test does control asymptotic size.

Keywords: Asymptotic size; Boundary; Overidentifying restrictions (search for similar items in EconPapers)
JEL-codes: C12 C52 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176519303738
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing overidentifying restrictions with a restricted parameter space (2019)
Working Paper: Testing overidentifying restrictions with a restricted parameter space (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303738

DOI: 10.1016/j.econlet.2019.108743

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().