
From  Kit Baum <baum@bc.edu> 
To  statalist@hsphsun2.harvard.edu 
Subject  st: Re: overidentification test after reg3 
Date  Sun, 1 Oct 2006 07:13:13 0400 
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
  =
 
To statalist@hsphsun2.harvard.eduFrom Kit Baum <baum@bc.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.statapress.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(16)
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