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st: Re: overidentification test after reg3


From   orozco@toulouse.inra.fr
To   statalist-digest@hsphsun2.harvard.edu
Subject   st: Re: overidentification test after reg3
Date   Sat, 30 Sep 2006 11:15:13 +0200

el.toulouse.inra.fr [147.99.111.242]); Sat, 30 Sep 2006 11:15:15 +0200 (MES=
T)
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Thank you for your trying to help me. What I didn't mentionned (and that's =
why
it was unclear) is that the

dlnp`i' with i =3D1, 2, 3, 4 which are on the RHS of the first 4 equations
correspond to the p`i' (dlnp`i' are just in log and in difference).
ddeflexp is also a tranformed form for exp.
So the variables I supposed to be endogeneous are the four dlnp`i' and exp,
that's why I have written 5 equations of instrumentation.

val=E9rie


---------------------------------------------------------------------------=
-----
>From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: overidentification test after reg3
Date   Thu, 28 Sep 2006 11:00:47 -0400

---------------------------------------------------------------------------=
-----
It is not apparent that this system is simultaneous. The dependent variable=
s are
dw1,dw3, dw3, exp, p1, p2, p3, p4 =3D 7. I do not see any of those variable=
s on
the RHS of other equations. If that is the case, there is no simultaneity h=
ere,
and each equation can be estimated by OLS (or, with constraints across
equations, as a SUR via sureg).

If there is no simultaneity, there is no question of identification, and th=
us no
need for a test of overidentifying restrictions. It is not surprising that =
the
routine referenced should come up with a huge number of d.f., as the number=
  of
exogenous variables is huge, and that will be multiplied by 7. By my count
you're estimating 48 RHS coefficients (plus constant terms) minus 6
constraints, or 42. Somehow, I knew the answer should be 42.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Sep 28, 2006, at 2:33 AM, Valerie wrote:



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

/*symmetry*/
constraint 1 [dw1]dlnp2 =3D [dw2]dlnp1
constraint 2 [dw1]dlnp3 =3D [dw3]dlnp1
constraint 3 [dw2]dlnp3 =3D [dw3]dlnp2
/*homogeneity*/
constraint 4 [dw1]dlnp1 + [dw1]dlnp2 + [dw1]dlnp3 + [dw1]dlnp4 =3D0
constraint 5 [dw2]dlnp1 + [dw2]dlnp2 + [dw2]dlnp3 + [dw2]dlnp4 =3D0
constraint 6 [dw3]dlnp1 + [dw3]dlnp2 + [dw3]dlnp3 + [dw3]dlnp4 =3D0

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 =3D #eqns * #exog - #betas estimated
(net) =3D 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....

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