A Cautionary Note on Tests for Overidentifying Restrictions

Paulo Parente and João Santos Silva

No 1111, Discussion Papers from University of Exeter, Department of Economics

Abstract: 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.

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: 2011
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: A cautionary note on tests of overidentifying restrictions (2012)
Working Paper: A cautionary note on tests for overidentifying restrictions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:1111

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