Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: testing overidentifying restrictions

From   baum <>
To   StataList <>
Subject   st: testing overidentifying restrictions
Date   Wed, 02 Oct 2002 13:52:52 -0400

The overid routine of Baum, Wiggins, Stillman, and Schaffer has been revised.
Previous versions of this routine, which calculates various "Sargan"-type tests for overidentifying restrictions in an instrumental variables setting, would generate results when the number of observations fell short of the number of instruments. In this circumstance, the cross-products matrix of instruments (Z'Z) is rank-deficient. -ivreg- will estimate such a model, but by construction returns OLS results. We have prevented -overid- from working with such a model, since it does not fulfill the textbook requirements (of a full-rank Z'Z) for an instrumental variables estimator.

ssc install overid will retrieve the latest version.

Christopher F Baum, Boston College Economics, Chestnut Hill MA 02467 USA
* For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index