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Re: st: reg3 and overidentification


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Geoff Edwards <edwards@haas.berkeley.edu>
Subject   Re: st: reg3 and overidentification
Date   Wed, 08 Sep 2004 21:19:53 +0100 (BST)

Geoff,

The answer to Victoria's question and yours is "yes, almost".  An overid 
test for a 3SLS regression is a joint test of all the orthogonality 
conditions.  If you estimate each of the equations separately by IV and do 
an overid test for each, you're testing each of the sets of orthogonality 
conditions separately.  You don't end up in exactly the same place, but 
it's close.

Hope this helps.

Cheers,
Mark

Quoting Geoff Edwards <edwards@haas.berkeley.edu>:

> This was posted some time ago and I have the same query - can anyone
> advise?
> 
> Thanks
> Geoff Edwards
> 
> ________________________________________________
> 
> >From   "Victoria Levin" <bagiravic@hotmail.com>
> To   statalist@hsphsun2.harvard.edu
> Subject   st: reg3 and overidentification
> Date   Fri, 14 May 2004 18:26:58 -0400
> 
> Hi,
> I am trying to do an overidentification test for a 3SLS regression.
> The overid command does not work after reg3, so I was wondering if there
> is a way of getting around that. If I re-run the model as ivreg2 and take
> the Sargan statistic from there, is that equivalent to testing
> overidentification for a 3SLS? Any suggestions on this topic would
> be greatly appreciated!
> 
> Thanks in advance,
> 
> Victoria
> 
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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