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st: overidentification test and endogeneity test with -ivreg2-


From   "Kelvin Tan" <j.tan@business.uq.edu.au>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: overidentification test and endogeneity test with -ivreg2-
Date   Tue, 3 Nov 2009 10:12:46 +1000

Dear All, 

I would like to know why I get identical overidentifcation test and
endogeneity test results (Results 1) with the following code (regardless
of 2SLS and GMM). 

----Begin Example----
webuse nlswork, clear
sort idcode year
tsset idcode year

ivreg2  wks_ue ( tenure = hours c_city  union)  grade, cl(idcode)
endog(tenure)
ivreg2  wks_ue ( tenure = hours c_city  union)  grade, cl(idcode)
endog(tenure) gmm
----End Example----


Results 1:
------------------------------------------------------------------------
------
Hansen J statistic (overidentification test of all instruments):
3.519
                                                   Chi-sq(2) P-val =
0.1722
-endog- option:
Endogeneity test of endogenous regressors:
0.567
                                                   Chi-sq(1) P-val =
0.4513
Regressors tested:    tenure
------------------------------------------------------------------------
------


Finally, I would like to know why I get different overidentification and
endogeneity test results when I use -ivreg2- (Results 1) and -ivregress
2sls- (Results 2). 

----Begin Example----
webuse nlswork, clear
sort idcode year
tsset idcode year

ivreg2  wks_ue ( tenure = hours c_city  union)  grade, cl(idcode)
endog(tenure) 

ivregress 2sls wks_ue ( tenure = hours c_city  union)  grade
estat endog
estat overid
----End Example----


Results 2
-----------------------------------------------------------------
. estat endog
  
  Tests of endogeneity
  Ho: variables are exogenous
  Durbin (score) chi2(1)          =  .231066  (p = 0.6307)
  Wu-Hausman F(1,13638)           =  .231002  (p = 0.6308)

. estat overid

  Tests of overidentifying restrictions:
  Sargan (score) chi2(2) =  4.54419  (p = 0.1031)
  Basmann chi2(2)        =  4.54404  (p = 0.1031)
-------------------------------------------------------------------


Thanks in advance. 


Regards,
Kelvin

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