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- Sargan_test abstract "The Sargan test is a statistical test used for testing over-identifying restrictions in a statistical model. It was proposed by John Denis Sargan in 1958, and several variants were derived by him in 1975. It is sometimes called the Hansen test or J-test for overidentifying restrictions partly because Lars Peter Hansen re-worked through the derivations.The Sargan test is based on the assumption that model parameters are identified via a priori restrictions on the coefficients, and tests the validity of over-identifying restrictions. The test statistic can be computed from residuals from instrumental variables regression by constructing a quadratic form based on the cross-product of the residuals and exogenous variables. Under the null hypothesis that the over-identifying restrictions are valid, the statistic is asymptotically distributed as a chi-square variable with (m − k) degrees of freedom (where m is the number of instruments and k is the number of endogenous variables).This version of the Sargan statistic was developed for models estimated using instrumental variables from ordinary time series or cross-sectional data. When longitudinal ("panel data") data are available, it is possible to extend such statistics for testing exogeneity hypotheses for subsets of explanatory variables. Testing of over-identifying assumptions is less important in longitudinal applications because realizations of time varying explanatory variables in different time periods are potential instruments, i.e., over-identifying restrictions are automatically built into models estimated using longitudinal data.".
- Sargan_test wikiPageID "14427248".
- Sargan_test wikiPageRevisionID "583769811".
- Sargan_test hasPhotoCollection Sargan_test.
- Sargan_test subject Category:Econometrics.
- Sargan_test subject Category:Statistical_tests.
- Sargan_test type Abstraction100002137.
- Sargan_test type Cognition100023271.
- Sargan_test type Experiment105798043.
- Sargan_test type HigherCognitiveProcess105770664.
- Sargan_test type Inquiry105797597.
- Sargan_test type ProblemSolving105796750.
- Sargan_test type Process105701363.
- Sargan_test type PsychologicalFeature100023100.
- Sargan_test type StatisticalTests.
- Sargan_test type Thinking105770926.
- Sargan_test type Trial105799212.
- Sargan_test comment "The Sargan test is a statistical test used for testing over-identifying restrictions in a statistical model. It was proposed by John Denis Sargan in 1958, and several variants were derived by him in 1975.".
- Sargan_test label "Sargan test".
- Sargan_test label "Test de Sargan".
- Sargan_test sameAs Test_de_Sargan.
- Sargan_test sameAs m.03d35rf.
- Sargan_test sameAs Q7423887.
- Sargan_test sameAs Q7423887.
- Sargan_test sameAs Sargan_test.
- Sargan_test wasDerivedFrom Sargan_test?oldid=583769811.
- Sargan_test isPrimaryTopicOf Sargan_test.