A generalization of the method of moments estimator applicable when the number of moment conditions exceeds the number of parameters to be estimated, computed by minimizing the sum of squared differences between the population moments and the sample moments.
The J-TEST is used in the context of the Generalized Method of Moments (GMM) to test the validity of overidentifying restrictions. It assesses if the instrumental variables are correctly specified and consistent with the model.
An estimator of the unknown parameters of a distribution obtained by solving a system of equations, called moment conditions, that equate the moments of distribution to their sample counterparts. See also generalized method of moments (GMM) estimator.
