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st: Overidentification


From   uctpacd@ucl.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   st: Overidentification
Date   Fri, 07 Sep 2007 01:56:54 +0100

Hi,

I have a question about what commands I have to type in order to get stata to
run an overidentification test for my instrumental variable.

My dependent variable is education and my key explanatory variable is
institutions which I have instrumented using Acemoglu's settler mortality
rates.  I have ran 2sls regressions with alternative instruments instead of
settler mortality rates but then I cannot work out how to get stata to work out
p-vale for a chi squared test to test whether the 2SLS coefficients (estimated
with the alternative instruments) versus the coefficients estimated using
(log)settler mortality (the IV i have used in this dissertation) in addition to
the “true” instruments are significantly different.

(I guess that the null hypthesis for the p value would be that the coefficient
on average protection against expropriation risk (the institutions variable) in
the second stage regression is the same as when instrumented using log mortality
of settlers in addition to the alternative instruments)

I have been advised to use ivreg2 however I am not sure exactly what commands I
need or how to write the commands?

Any help would be really appreciated.
Thank you,

Anna



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