# Sargan–Hansen test

**Sargan test**

The Sargan–Hansen test or Sargan's J test is a statistical test used for testing over-identifying restrictions in a statistical model.wikipedia

12 Related Articles

### Instrumental variables estimation

**instrumental variableinstrumental variablestwo-stage least squares**

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.

The most common test of these overidentifying restrictions, called the Sargan–Hansen test, is based on the observation that the residuals should be uncorrelated with the set of exogenous variables if the instruments are truly exogenous.

### Statistical hypothesis testing

**hypothesis testingstatistical teststatistical tests**

The Sargan–Hansen test or Sargan's J test is a statistical test used for testing over-identifying restrictions in a statistical model.

### Statistical model

**modelprobabilistic modelstatistical modeling**

The Sargan–Hansen test or Sargan's J test is a statistical test used for testing over-identifying restrictions in a statistical model.

### Denis Sargan

**John Denis SarganJohn D. SarganSargan**

It was proposed by John Denis Sargan in 1958, and several variants were derived by him in 1975.

### Lars Peter Hansen

**Lars P. HansenHansenLars Hansen**

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.

### Generalized method of moments

**GMM**

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.

### Time series

**time series analysistime-seriestime-series analysis**

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.

### Errors and residuals

**residualserror termresidual**

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.

### Chi-squared distribution

**chi-squaredchi-square distributionchi square distribution**

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).

### Panel data

**longitudinal datapanel(panel)**

When longitudinal ("panel data") data are available, it is possible to extend such statistics for testing exogeneity hypotheses for subsets of explanatory variables.

### Durbin–Wu–Hausman test

**Hausman specification testHausman testThe Hausman test, ''or'' Hausman specification test**

* Durbin–Wu–Hausman test

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