A cautionary note on tests of overidentifying restrictions
Dias Costa Parente, Paulo M.
Santos Silva, J.M.C.
In this note, we argue that tests of overidentifying restrictions give little information on the validity of the moment conditions implied by the underlying economic model, and therefore are mute about the possibility of identifying the parameters of interest.
Pre-print version issued as Economics Department Discussion Paper 11/11. A definitive version was subsequently published in Economics Letters Volume 115, Issue 2, May 2012, Pages 314–317. Available online at http://www.sciencedirect.com/
Vol. 115, Issue 2, pp. 314 - 317