Specification Tests of Overidentifying Restrictions for Minimum Distance Estimation
Nayoung Lee, Hyungsik Roger Moon · Ewha Journal of Social Sciences · 2013
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.