MarketSargan–Hansen test
Company Profile

Sargan–Hansen test

The Sargan–Hansen test or Sargan's 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.

tickerdossier.comtickerdossier.substack.com