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st: overid test in ivreg2 vs overidxt


From   "Eiji Mangyo" <eijim@umich.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: overid test in ivreg2 vs overidxt
Date   Wed, 13 Aug 2003 00:08:38 -0400

Dear Statalisters,

I have a 2-year panel household data set. I estimated the theoretically same
model using two different Stata commands. First, using xtivreg, fe and
second, manually differencing within household and using ivreg2. I got the
same coefficient estimates but different standard errors and different
overid test statistics. (Result tables copied below; 1st stages omitted)

1) Are the standard errors of the coefficient estimates different because
xtivreg, fe used households with both single observation and two repeated
observations while differencing and ivreg2 used only household with two
repeated observations?

2) Is the Sargan statistic given by overidxt different from the Sargan
statistic given in ivreg2 for the same reason as above?

Thank you very much for your help.
Eiji

xtivreg dprome2 mefor afor mesrh asrh maxedu /*
      > */ y93 lny93 heny93 sdy93 hby93 hny93 gxy93 gzy93 city93 suby93
towy93 /*
      > */ (lnpcdef=drainq1-drainq4 drainqland1-drainqland4 /*
      > */ dsunq1-dsunq4 dsunqland1-dsunqland4 /*
      > */ drainqvill1-drainqvill4 dsunqvill1-dsunqvill4),fe

Fixed-effects (within) IV regression         Number of obs      =
850
      Group variable: ohhid                        Number of groups   =
581

      R-sq:  within  = 0.0438                      Obs per group: min =
1
             between = 0.0006                                     avg =
1.5
             overall = 0.0024                                     max =
2

                                                   Wald chi2(17)      =
943.39
      corr(u_i, Xb)  = -0.3811                     Prob > chi2        =
0.0000

      ----------------------------------------------------------------------
--------
           dprome2 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
      -------------+--------------------------------------------------------
--------
           lnpcdef |  -.0829731   .0578167    -1.44   0.151    -.1962917
.0303454
             mefor |    .014233    .022224     0.64   0.522    -.0293253
.0577912
              afor |  -.0363992   .0359746    -1.01   0.312    -.1069081
.0341096
             mesrh |  -.0880036     .03345    -2.63
0.009    -.1535644   -.0224427
              asrh |   .1225672    .047207     2.60   0.009     .0300431
.2150912
            maxedu |   .0141301   .0174315     0.81   0.418     -.020035
.0482953
               y93 |  -.0033069    .062804    -0.05   0.958    -.1264005
.1197867
             lny93 |    .137499    .092804     1.48   0.138    -.0443935
.3193915
            heny93 |  -.0247196     .10157    -0.24   0.808    -.2237932
.174354
             sdy93 |  -.1033524    .093967    -1.10   0.271    -.2875244
.0808195
             hby93 |  -.1834472    .092521    -1.98
0.047    -.3647851   -.0021094
             hny93 |  -.0731059   .1022382    -0.72   0.475    -.2734891
.1272773
             gxy93 |  -.0030924   .0728227    -0.04   0.966    -.1458223
.1396375
             gzy93 |  -.0967301   .0762305    -1.27   0.204    -.2461392
.052679
            city93 |    .026772   .0498719     0.54   0.591    -.0709751
.1245191
            suby93 |  -.0511917   .0635875    -0.81   0.421     -.175821
.0734375
            towy93 |   .0035864   .0529958     0.07   0.946    -.1002835
.1074562
             _cons |   .3330647   .4183751     0.80   0.426    -.4869353
1.153065
      -------------+--------------------------------------------------------
--------
           sigma_u |  .25929132
           sigma_e |  .22144028
               rho |  .57825123   (fraction of variance due to u_i)
      ----------------------------------------------------------------------
--------
      F  test that all u_i=0:     F(580,252) =     1.22         Prob > F
= 0.0325
      ----------------------------------------------------------------------
--------
      Instrumented:   lnpcdef
      Instruments:    mefor afor mesrh asrh maxedu y93 lny93 heny93 sdy93
hby93 hny93
                      gxy93 gzy93 city93 suby93 towy93 drainq1 drainq2
drainq3
                      drainq4 drainqland1 drainqland2 drainqland3
drainqland4 dsunq1
                      dsunq2 dsunq3 dsunq4 dsunqland1 dsunqland2 dsunqland3
                      dsunqland4 drainqvill1 drainqvill2 drainqvill3
drainqvill4
                      dsunqvill1 dsunqvill2 dsunqvill3 dsunqvill4

    overidxt

      Test of overidentifying restrictions:  17.241  Chi-sq(14)  P-value =
.2436


ivreg2 ddprome2 dmefor dafor dmesrh dasrh dmaxedu /*
      > */ dy93 dlny93 dheny93 dsdy93 dhby93 dhny93 dgxy93 dgzy93 dcity93
dsuby93 dto wy93 /*
      > */ (dlnpcdef= ddrainq1-ddrainq4 ddrainqland1-ddrainqland4 /*
      > */ ddsunq1-ddsunq4 ddsunqland1-ddsunqland4 /*
      > */ ddrainqvill1-ddrainqvill4 ddsunqvill1-ddsunqvill4)


Instrumental variables (2SLS) regression
      ----------------------------------------

                                                            Number of obs =
269
                                                            F( 16,   238) =
1.84
                                                            Prob > F      =
0.0268
      Total (centered) SS     =  25.45874667                Centered R2   =
0.0293
      Total (uncentered) SS   =  25.84544851                Uncentered R2 =
0.0438
      Residual SS             =  24.71404235                Root MSE      =
.303107

      ----------------------------------------------------------------------
--------
          ddprome2 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
      -------------+--------------------------------------------------------
--------
          dlnpcdef |  -.0829732   .0559599    -1.48   0.138    -.1926526
.0267063
            dmefor |    .014233   .0215103     0.66   0.508    -.0279264
.0563924
             dafor |  -.0363992   .0348193    -1.05   0.296    -.1046438
.0318453
            dmesrh |  -.0880035   .0323758    -2.72
0.007     -.151459   -.0245481
             dasrh |   .1225671    .045691     2.68   0.007     .0330144
.2121199
           dmaxedu |   .0141301   .0168717     0.84   0.402    -.0189378
.0471981
              dy93 |  (dropped)
            dlny93 |    .137499   .0898237     1.53   0.126    -.0385522
.3135502
           dheny93 |  -.0247196   .0983082    -0.25   0.801    -.2174001
.1679609
            dsdy93 |  -.1033525   .0909493    -1.14   0.256    -.2816099
.0749049
            dhby93 |  -.1834473   .0895498    -2.05
0.041    -.3589616   -.0079329
            dhny93 |  -.0731059   .0989549    -0.74   0.460     -.267054
.1208421
            dgxy93 |  -.0030924   .0704841    -0.04   0.965    -.1412387
.1350539
            dgzy93 |  -.0967301   .0737825    -1.31   0.190    -.2413411
.0478809
           dcity93 |    .026772   .0482703     0.55   0.579     -.067836
.12138
           dsuby93 |  -.0511917   .0615455    -0.83   0.406    -.1718186
.0694352
           dtowy93 |   .0035864   .0512939     0.07   0.944    -.0969478
.1041205
             _cons |  -.0033069   .0607871    -0.05   0.957    -.1224474
.1158336
      ----------------------------------------------------------------------
--------
      Sargan statistic (overidentification test of all instruments):
5.456
                                                         Chi-sq(14) P-val =
0.97839
      ----------------------------------------------------------------------
--------
      Collinearities detected among instruments: 10 instrument(s) dropped
      Instrumented:  dlnpcdef
      Instruments:   dmefor dafor dmesrh dasrh dmaxedu dy93 dlny93 dheny93
dsdy93
                     dhby93 dhny93 dgxy93 dgzy93 dcity93 dsuby93 dtowy93
ddrainq1
                     ddrainq2 ddrainq3 ddrainq4 ddrainqland1 ddrainqland2
                     ddrainqland3 ddrainqland4 ddsunq1 ddsunq2 ddsunq3
ddsunq4
                     ddsunqland1 ddsunqland2 ddsunqland3 ddsunqland4
ddrainqvill1
                     ddrainqvill2 ddrainqvill3 ddrainqvill4 ddsunqvill1
ddsunqvill2
                     ddsunqvill3 ddsunqvill4
      ----------------------------------------------------------------------
--------

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