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st: overid


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: overid
Date   Sat, 21 Oct 2006 20:42:09 -0400

The overid routine of Baum, Schaffer, Stillman and Wiggins generates "Sargan" tests of overidentifying restrictions after an instrumental variables estimator has been applied to an overidentified equation. Earlier versions of this routine could be used after -ivreg- or - ivreg2-, but given that -ivreg2- routinely calculates the Sargan(- Hansen) statistic, their utility was somewhat limited.

overid has now been extended to compute tests of overidentifying restrictions for three additional IV estimators:
* ivprobit using the twostep (non-ML) option
* ivtobit using the twostep option
* reg3, with and without linear constraints (following up on one of my Statalist postings)

The new routine uses Mata, thus requires Stata 9.2. It is available from SSC or via -adoupdate if you have previously installed -overid-.


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


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