narrow replication of yogo (2004) estimating the elasticity of intertemporal substitution when instruments are weak (replication data)

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.