Overidentifying Restrictions

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August 31, 2024 3 min read Definitions
J-TEST: A Test of Overidentifying Restrictions in GMM Models
Statistics Econometrics GMM Overidentifying Restrictions Instrumental Variables Chi-Square Distribution Econometric Models
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.
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