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st: Sargan and Hansen tests


From   Carola Herrera <herrera.carola@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Sargan and Hansen tests
Date   Sun, 28 Dec 2008 14:50:49 -0800 (PST)

Dear all,

Do the Sargan and Hansen J tests only apply if one has more IVs than endogenous regressors?  These are overidentification tests, right?

How can I check if the IV violates the exclusion restriction is violated if there is only one IV and one endogenous regressor?  No way I can show this is the case, right?

If I have doubts about whether my IV meets the exclusion restriction AND I have concerns about endogeneity...shall I "believe" the OLS estimates or shall I "believe" the 2SLS ones...Or probably none?

thanks

Happy holidays to all.
Carola



      

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