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st: testing overidentifying restrictions


From   baum <baum@bc.edu>
To   StataList <statalist@hsphsun2.harvard.edu>
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.

Kit
________________________________________________________________________
Christopher F Baum, Boston College Economics, Chestnut Hill MA 02467 USA
baum@bc.edu http://fmwww.bc.edu/ec-v/baum.fac.html
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