Hansen–Sargan Test of Overidentifying RestrictionsYves Croissant
. xtoverid, robust Test of overidentifying restrictions: Cross-section time-series model: xtivreg g2sls robust Sargan-Hansen statistic 1.777 Chi-sq(2) P-value = 0.4112 * xtoverid after xtivreg, fe: . quietly xtivreg lny_l medium large grupo intra1 inter1_p (lnRDs_l lnCFs_l= lag1RD l...
As described in Roodman (2006:11-12) the choice of relying on the Hansen's J or Sargan's test of overidentifying restrictions depends on whether you suspect non-sphericity in the errors (e.g. in the case of heteroscedastic errors). Sargan's statistic is a special case of Hansen's J ...
(2021), “Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity Using Regularized jackknife IV,” The Econometrics Journal, 25, 71–97. DOI: 10.1093/ectj/utab020. (Open in a new window)Web of Science ®(Open in a new window)Google Scholar Chang, J., Chen, S....
test of overidentifying restrictionsFixed alternatives are determined against which the OR test is inconsistent. If there is a "true parameter" then the result of the OR pretest should be carefully interpreted. The inconsistency result of the OR test is related to the literature on "optimal" ...
A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters. Economics Letters 117, 901-904.Guggenberger, P. 2012. "A Note on the (In)consistency of the Test of Overidentifying Restrictions and the Concepts of True and Pseudo...
The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first order local ...
The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first-order local ...
The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first-order local ...
Two types of Monte Carlo simulations are performed. One is based on comparing a test statistic with its asymptotic distribution and a second compares a test statistic with its bootstrap distribution.; This thesis first considers the finite sample properties of a test for overidentifying restrictions ...