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Testing overidentifying restrictions with a restricted parameter space

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  • Ketz, Philipp

Abstract

We show that the standard test for testing overidentifying restrictions, which compares the J-statistic (Hansen, 1982) to χ2 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 χ2 distributed, such that the resulting test does control asymptotic size.

Suggested Citation

  • Ketz, Philipp, 2019. "Testing overidentifying restrictions with a restricted parameter space," Economics Letters, Elsevier, vol. 185(C).
    • Handle: RePEc:eee:ecolet:v:185:y:2019:i:c:s0165176519303738
    DOI: 10.1016/j.econlet.2019.108743
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    References listed on IDEAS

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    Cited by:

    1. Tomasz Swiecki, 2017. "Determinants of Structural Change," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 24, pages 95-131, March.
    2. Ketz, Philipp, 2019. "On asymptotic size distortions in the random coefficients logit model," Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.

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    More about this item

    Keywords

    Asymptotic size; Boundary; Overidentifying restrictions;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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