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st: over identification test after reg3

From   Valérie Orozco <>
Subject   st: over identification test after reg3
Date   Wed, 27 Sep 2006 09:34:07 +0200

I am trying to run an over identification test for a constrained simultaneaous model (with reg3). It is the following :

constraint 1 [dw1]dlnp2 = [dw2]dlnp1
constraint 2 [dw1]dlnp3 = [dw3]dlnp1
constraint 3 [dw2]dlnp3 = [dw3]dlnp2
constraint 4 [dw1]dlnp1 + [dw1]dlnp2 + [dw1]dlnp3 + [dw1]dlnp4 =0 constraint 5 [dw2]dlnp1 + [dw2]dlnp2 + [dw2]dlnp3 + [dw2]dlnp4 =0 constraint 6 [dw3]dlnp1 + [dw3]dlnp2 + [dw3]dlnp3 + [dw3]dlnp4 =0

reg3(dw1 ddeflexp dlnp1 dlnp2 dlnp3 dlnp4 period dlnyear) /*
*/ (dw2 ddeflexp dlnp1 dlnp2 dlnp3 dlnp4 period dlnyear)/*
*/ (dw3 ddeflexp dlnp1 dlnp2 dlnp3 dlnp4 period dlnyear) /*
*/ (exp explag PIB period)/*
*/ (p1 pxlaitcomteinterp pxlaitcomteinterplag1 ind_sal_interp pourc_vol_ean_1 pourc_vol_MDDHD_1)/* */ (p2 pxlaitstandinterp pxlaitstandinterplag1 ind_sal_interp pourc_vol_ean_2 pourc_vol_MDDHD_2)/*
*/ (p3 pxlaitcomteinterp pxlaitcomteinterplag1 pxlaitstandinterp pxlaitstandinterplag1 ind_sal_interp pourc_vol_ean_3 pourc_vol_MDDHD_3 pourc_vol_parm pourc_vol_beauf) /*
*/ (p4 pxlaitstandinterp pxlaitstandinterplag1 ind_sal_interp pourc_vol_ean_4 pourc_vol_MDDHD_4), cons(1-6)

The last 5 equations correspond to my instrumentations.
As it isn't possible to use the overid command (because I used reg3 and not ivreg2), I have to rebuild the sargan test of overidentification.
I have found a the little and useful program written by Christopher Baum to rebuild the J stat. I just don't well understand the degrees of freedom calculated in his program (df = #eqns * #exog - #betas estimated (net) = rowsof(esigma) * colsof(w) - (colsof(beta) - `nconstraint')).

With this, I obtain a df of 150 which is enormous. I'm probably wrong somewhere. If someone has any suggestions....

Thank you very much.



Valérie Orozco
INRA ESR Toulouse
ESR INRA - BP52627 - 31326 Castanet Tolosan Cedex

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