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st: overid


From   "Orgul Demet Ozturk" <orguldemetozturk@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: overid
Date   Tue, 30 Oct 2007 10:23:19 -0400

Hi,
I am  using overid test but I am rather confused about it is implications.
(I copy-pasted the regression and test results at the bottom of this message)
According to the test result I am not rejecting my null which means ?
I am not perfectly sure what the null is in this case.


Also,
Can you please tell me  if there is  any underidentification test I
can use with ivreg2.

Thank you,
Orgul



ivreg2 employ2 iqscore emot_beh_probx female black age age2 unemploy
large_board supervised ( jc_lag =ftera
> tio2_lag jc_frequency_lag unemploy_lag large_board_lag supervised_lag)

Instrumental variables (2SLS) regression
----------------------------------------

                                                      Number of obs =     9872
                                                      F( 10,  9861) =    26.64
                                                      Prob > F      =   0.0000
Total (centered) SS     =    928.85859                Centered R2   =   0.0832
Total (uncentered) SS   =         1038                Uncentered R2 =   0.1796
Residual SS             =  851.6069053                Root MSE      =      .29

------------------------------------------------------------------------------
     employ2 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      jc_lag |     .16047   .0785837     2.04   0.041      .0064486    .3144913
     iqscore |    .152207   .0266236     5.72   0.000     .1000256    .2043884
emot_beh_p~x |  -.0373545   .0076995    -4.85   0.000    -.0524452   -.0222639
      female |  -.0284746   .0059677    - 4.77   0.000     -.040171   -.0167781
       black |   .0270993   .0063185     4.29   0.000     .0147153    .0394833
         age |    .085015    .020824     4.08   0.000     .0442008    .1258292
        age2 |  -.0115688   .0026788    - 4.32   0.000    -.0168192   -.0063184
    unemploy |  -.0109867   .0015856    -6.93   0.000    -.0140944    -.007879
 large_board |   -.032589   .0063096    -5.16   0.000    -.0449556   -.0202223
  supervised |   .0434213   .0097578     4.45   0.000     .0242964    .0625463
       _cons |  -.0438364   .0414937    -1.06   0.291    -.1251626    .0374897
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):           5.141
                                                   Chi-sq(4) P-val =   0.27310
------------------------------------------------------------------------------
Instrumented:  jc_lag
Instruments:   fteratio2_lag jc_frequency_lag unemploy_lag large_board_lag
               supervised_lag iqscore emot_beh_probx female black age age2
               unemploy large_board supervised
------------------------------------------------------------------------------

. overid

Tests of overidentifying restrictions:
Sargan N*R-sq test        5.141  Chi-sq(4)    P-value = 0.2731
Basmann test              5.136  Chi-sq(4)    P-value = 0.2736
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