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

Patrik Guggenberger

doi:10.1016/j.econlet.2012.07.008

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

Patrik Guggenberger

Economics

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

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 language	English (US)
Pages (from-to)	901-904
Number of pages	4
Journal	Economics Letters
Volume	117
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2012.07.008
State	Published - 2012

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.econlet.2012.07.008

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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",

note = "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.",

year = "2012",

doi = "10.1016/j.econlet.2012.07.008",

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volume = "117",

pages = "901--904",

journal = "Economics Letters",

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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.

UR - https://www.scopus.com/pages/publications/84874482080

UR - https://www.scopus.com/pages/publications/84874482080#tab=citedBy

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

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JO - Economics Letters

JF - Economics Letters

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ER -

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

Abstract

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