A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters

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Abstract

In the linear instrumental variables model, we characterize fixed alternatives against which the test of overidentifying restrictions (OR) is inconsistent. When there is the notion of a "true parameter", we relate this inconsistency result to the literature on optimality properties of various versions of the test of OR.

Original languageEnglish (US)
Pages (from-to)901-904
Number of pages4
JournalEconomics Letters
Volume117
Issue number3
DOIs
StatePublished - Jan 1 2012

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Optimality
Inconsistency
Instrumental variables

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

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title = "A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters",
abstract = "In the linear instrumental variables model, we characterize fixed alternatives against which the test of overidentifying restrictions (OR) is inconsistent. When there is the notion of a {"}true parameter{"}, we relate this inconsistency result to the literature on optimality properties of various versions of the test of OR.",
author = "Patrik Guggenberger",
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