Testing overidentifying restrictions with a restricted parameter space

Philipp Ketz

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Abstract: We show that the standard test for testing overidentifying restrictions, which compares the J-statistic (Hansen, 1982) to 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 distributed, such that the resulting test does control asymptotic size.

Date: 2019-12
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Published in Economics Letters, 2019, 185, ⟨10.1016/j.econlet.2019.108743⟩

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Journal Article: Testing overidentifying restrictions with a restricted parameter space (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-02492665

DOI: 10.1016/j.econlet.2019.108743

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