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st: overidentification test


From   Tae Hun Kim <thkim91@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: overidentification test
Date   Tue, 15 Mar 2005 15:06:33 -0600

Hello Statalist.
I want to test overidentification test with ivreg2.
I think we can obtain Hansen J statistic with and without 'orthog' option.
Actually, I used orthog option to test endogeneity.

Here is the code and results.(smom : endogenous variable)
-case(1) :  with orthog option
ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00
y01 y02  s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 s01
s02 smom ( = dratio dfarm dfuel ), gmm orthog(smom);
Hansen J statistic (unconstrained) : 11.111-> Chi-sq(2) P-val=0.00387
C statistic : 25.748-> Chi-sq(1) P-val=0.0000

-case (2) : without orthog option
ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00
y01 y02   s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 s01
s02 (smom=dratio dfarm dfuel ), gmm;
Hansen J statistic (overidentification test of all instruments) :
5.822-> Chi-sq(2) P-val=0.05442

==> so, case(1) rejects the null but case (2) doesn't

My question is which one I have to choose as a overidentification test.
Thanks,
TaeHun Kim
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