One test of over-identification is whether the first group of three instruments—the
religious pluralism index and the dummies for the presence of a state religion and for
regulation of the religion market—matter directly for growth. To carry out this test, we
maintained the hypothesis that the religion shares do not enter directly into the growth
equations.
(This assumption allows us to identify the systems even when the group of three instruments is added to the growth equations.)
The p-value for joint significance of the three variables in the growth equations is 0.25. Similar results apply to the other cases shown in Table 4—we always accept with a high p-value the exclusion of the three variables from the growth equations.
Therefore, for the rest of the analysis, we include these three variables— the pluralism index and the dummy variables for state religion and regulation of religion—as instruments but exclude them from the growth equations.