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- The Sargan–Hansen test or Sargan's test is a statistical test used for testing 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 degrees of freedom (where is the number of instruments and is the number of endogenous variables). (en)
- Le test de Sargan ou test de Sargan-Hansen est un test statistique permettant de tester une hypothèse de dans un modèle statistique. Il est aussi connu sous le nom de test de Hansen ou test J. Le test de Sargan est construit sur l'hypothèse que le terme d'erreur ne doit pas être corrélé avec l'ensemble des variables exogènes si les instruments sont valides. (fr)
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- 3435 (xsd:nonNegativeInteger)
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- Le test de Sargan ou test de Sargan-Hansen est un test statistique permettant de tester une hypothèse de dans un modèle statistique. Il est aussi connu sous le nom de test de Hansen ou test J. Le test de Sargan est construit sur l'hypothèse que le terme d'erreur ne doit pas être corrélé avec l'ensemble des variables exogènes si les instruments sont valides. (fr)
- The Sargan–Hansen test or Sargan's test is a statistical test used for testing 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. (en)
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- Test de Sargan (fr)
- Sargan–Hansen test (en)
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