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Narrow Replication of Yogo (2004) Estimating the Elasticity of Intertemporal Substitution when Instruments are Weak
Author(s) -
Gomes Fábio Augusto Reis,
Paz Lourenço S.
Publication year - 2011
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1264
Subject(s) - replication (statistics) , null hypothesis , econometrics
SUMMARY This narrow replication exercise of Yogo ( Review of Economics and Statistics 2004; 86 (3): 797–810) finds results identical to the original paper, and provides results on overidentification tests for specifications that do not suffer from the weak instruments problem. The null hypothesis of the Sargan test is rejected in several cases, in particular for US and UK quarterly data. When other combinations of instruments are used the null of the Sargan test is rejected again in several cases. These rejections cast doubts on either instrument validity or model specification. Copyright © 2011 John Wiley & Sons, Ltd.