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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Sargan–Hansen test ： ウィキペディア英語版 Sargan–Hansen test The Sargan–Hansen test or Sargan's $J$ 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. Lars Peter Hansen re-worked through the derivations and showed that it can be extended to general non-linear GMM in a time series context. 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. == See also == * Durbin–Wu–Hausman test 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Sargan–Hansen test」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.