EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-ecm
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://people.exeter.ac.uk/RePEc/dpapers/DP1111.pdf (application/pdf)

Related works:
Journal Article: A cautionary note on tests of overidentifying restrictions (2012) Downloads
Working Paper: A cautionary note on tests for overidentifying restrictions (2011) Downloads
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:exe:wpaper:1111

Access Statistics for this paper

More papers in Discussion Papers from University of Exeter, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Jingnan (Cecilia) Chen ().

 
Page updated 2019-09-16
Handle: RePEc:exe:wpaper:1111