Specification Tests of Overidentifying Restrictions for Minimum Distance Estimation
12 Pages Posted: 23 Mar 2015
Date Written: March 22, 2015
Abstract
This papers surveys for practitioners on specification tests for the validity of the overidentifying restrictions in a minimum distance set-up. The tests include (i) Hansen’s J-test, (ii) Newey’s test, (iii) simulation based test, (iv) bootstrap based test.
Keywords: Minimum Distance, Overidentifying Restrictions, Specification Tests, J-Test, Newey’s Test, Simulation Test, Bootstrap Test
Suggested Citation: Suggested Citation
Lee, Nayoung and Moon, Hyungsik Roger, Specification Tests of Overidentifying Restrictions for Minimum Distance Estimation (March 22, 2015). Ewha Journal of Social Sciences, Vol. 29, No. 1, 2013, Available at SSRN: https://ssrn.com/abstract=2583306
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