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Testing overidentifying restrictions with a restricted parameter space

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.
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https://halshs.archives-ouvertes.fr/halshs-02492665
Contributor : Caroline Bauer <>
Submitted on : Thursday, February 27, 2020 - 11:04:12 AM
Last modification on : Friday, February 5, 2021 - 3:01:15 AM

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Philipp Ketz. Testing overidentifying restrictions with a restricted parameter space. Economics Letters, Elsevier, 2019, 185, ⟨10.1016/j.econlet.2019.108743⟩. ⟨halshs-02492665⟩

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