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Re: st: Specification tests and EC2SLS


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Damon Cann <dcann@uga.edu>
Subject   Re: st: Specification tests and EC2SLS
Date   Mon, 27 Sep 2004 22:05:33 +0100 (BST)

Damon,

I have a version of a program that does a Sargan test of overidentifying 
restrictions after estimation by EC2SLS or G2SLS.  I got it working but 
there were some minor issues relating to small-sample corrections that got 
in the way and stopped me from making it generally available.  It's 
probably good enough for your purposes, though.  If you contact me off-
list, I can send it to you and we can see if it does what you want.

Cheers,
Mark

Quoting Damon Cann <dcann@uga.edu>:

> I  have a set of panel data with endogenous variables.  Executing an
> 
> error components two-stage least squares model poses no problem, but
> I 
> want to show that I've met the assumptions of the method.  I'm not
> 
> certain that the standard specification tests for 2SLS are valid
> after 
> ec2SLS.
> 
> Particularly, I want to know if I can proceed with the following two
> 
> tests as though my EC2SLS results were 2SLS results.
> 
> *Hausman test for exogeneity (should I compare the EC2SLS to a
> random 
> effects model instead of to OLS?)
> *Test of Overidentifying restrictions (a la Davidson and
> MacKinnon)
> 
> 
> Many thanks for any comments,
> 
> Damon Cann
> dcann@uga.edu
> 
> *
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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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