Sargan test

E764596
econometric test statistical test test of overidentifying restrictions

The Sargan test is a statistical test used in econometrics to assess the validity of instrumental variables by checking overidentifying restrictions in regression models.

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Sargan overidentification test 1

Statements (46)

Predicate Object
instanceOf econometric test ⓘ
statistical test ⓘ
test of overidentifying restrictions ⓘ
alsoKnownAs Sargan overidentification test NERFINISHED ⓘ
Sargan overidentifying restrictions test NERFINISHED ⓘ
alternativeHypothesis at least one instrument is invalid ⓘ
overidentifying restrictions are violated ⓘ
appliesTo instrumental variables models ⓘ
linear regression with instrumental variables ⓘ
overidentified IV regression models ⓘ
assumes homoskedastic errors ⓘ
basedOn moment conditions implied by instruments ⓘ
residuals from IV regression ⓘ
cannotBeAppliedTo exactly identified IV models ⓘ
degreesOfFreedom number of overidentifying restrictions ⓘ
field econometrics ⓘ
statistics ⓘ
generalizationOf tests of linear restrictions on moments ⓘ
hasLimitation not robust to heteroskedasticity ⓘ
implementedIn EViews NERFINISHED ⓘ
Gretl NERFINISHED ⓘ
R NERFINISHED ⓘ
Stata NERFINISHED ⓘ
other econometric software ⓘ
introducedBy John Denis Sargan NERFINISHED ⓘ
introducedIn 1958 ⓘ
namedAfter John Denis Sargan NERFINISHED ⓘ
nullHypothesis all instruments are valid ⓘ
overidentifying restrictions are satisfied ⓘ
relatedTo GMM overidentification test ⓘ
Hansen J test ⓘ
generalized method of moments ⓘ
instrumental variables estimation ⓘ
two-stage least squares ⓘ
requires overidentified model ⓘ
robustVariant Hansen J test ⓘ
testStatisticDependsOn number of overidentifying restrictions ⓘ
sample size ⓘ
testStatisticDistribution chi-squared distribution under the null ⓘ
usedFor assessing validity of instrumental variables ⓘ
testing exogeneity of instruments ⓘ
testing model specification in IV regression ⓘ
testing overidentifying restrictions ⓘ
usedIn cross-sectional IV analysis ⓘ
panel data models with IV ⓘ
time series models with IV ⓘ

Referenced by (3)

Full triples — surface form annotated when it differs from this entity's canonical label.

Denis Sargan → knownFor → Sargan test ⓘ
Denis Sargan → hasTestNamedAfter → Sargan test ⓘ
Denis Sargan → hasTestNamedAfter → Sargan test ⓘ
this entity surface form: Sargan overidentification test