TY - JOUR
T1 - A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
AU - Guggenberger, Patrik
N1 - Funding Information:
I would like to thank a referee and the Editor for very insightful and helpful comments, the NSF under grant SES-1021101 for financial support, the Alfred P. Sloan Foundation for a 2009 fellowship, and Ivan Canay, Bruce Hansen, Yuichi Kitamura, Taisuke Otsu, Eric Renault, Andres Santos, Azeem Shaikh, Hal White, and Michael Wolf for helpful discussions and/or comments. The first version was drafted in 2010.
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2012
Y1 - 2012
N2 - 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.
AB - 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.
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U2 - 10.1016/j.econlet.2012.07.008
DO - 10.1016/j.econlet.2012.07.008
M3 - Article
AN - SCOPUS:84874482080
SN - 0165-1765
VL - 117
SP - 901
EP - 904
JO - Economics Letters
JF - Economics Letters
IS - 3
ER -