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st: Pls Help, fail overid test for some subsamples, not for fullsample - xtiverg2


From   mparrat@bu.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: Pls Help, fail overid test for some subsamples, not for fullsample - xtiverg2
Date   Sat, 15 Mar 2008 14:18:54 -0400

Hi,

I am estimating a model with panel data in which one of the covariates is endogenous. I have chosen a set of instruments and I am using xtivreg2, fe r. My instruments are significant (jointly and separately) and I fail to reject Hansen?s J statistic test, i.e., the model is overidentified. The sample size is over 9000 observations (9 years, 1000 units approx.)

My problem is that the model is no longer overidentified (reject Hansen?s J) when I run the estimation for some subsets of my sample, say for a group of units given by one specific characteristic (about 6000 obs). This, however, only happens for some subsets not all and these are not necessary the smallest. Moreover, the estimate of my endogenous variable is not significant anymore for these subsamples (but continues to be for other subsamples).

So, what are the implications on these findings? For example, does the rejection of the test for a subset of the sample invalidate the results on the full sample? Also, I assume I could not say anything about the estimates of the non-overidentified models, that is, I cannot compare them with the full sample or other subsamples, which was the point of splitting the sample. Am I right?

I appreciate any comments on this,

Best regards,

Monica



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