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Re: st: Overidentification


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Overidentification
Date   Fri, 7 Sep 2007 08:12:14 -0400

If I am reading your question right, you want a test of instrument
redundancy for an excluded instrument you are considering adding to
the model, not an overID test.  The help file for -ivreg2- illustrates
one thus:

use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz.dta
ssc inst ivreg2, replace
ssc inst ranktest, replace
ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6), robust redundant(age)


On 9/6/07, uctpacd@ucl.ac.uk <uctpacd@ucl.ac.uk> wrote:
> 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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