Authors: Marco Ventura
Addresses: Italian National Institute of Statistics (ISTAT), Via Tuscolana 1788, 00173, Rome, Italy
Abstract: Whenever the number of instruments equals the number of endogenous variables testing the validity of the instruments is not a feasible task. Based on recent econometric developments (Lewbel, 2012), this paper aims at spreading among applied economists and econometricians an empirical strategy to overcome this setback, thus sidestepping the exact identification problem.
Keywords: instrumental variables; exact identification; over identifying test; Hansen-Sargan test; endogeneity.
International Journal of Computational Economics and Econometrics, 2018 Vol.8 No.2, pp.159 - 169
Received: 16 Sep 2015
Accepted: 10 May 2016
Published online: 23 Feb 2018 *