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st: re: overidentification test and endogeneity test with -ivreg2-


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: overidentification test and endogeneity test with -ivreg2-
Date   Mon, 2 Nov 2009 20:57:34 -0500

<>
You get different results for the overid test and endog test in (2) because you're using a different VCE. If you use the same VCE they agree exactly.

webuse nlswork, clear
ivregress 2sls wks_ue ( tenure = hours c_city  union)  grade
estat overid
estat endog
ivreg2  wks_ue ( tenure = hours c_city  union)  grade, endog(tenure)

Re (1), ivreg2 without the gmm2s option (that is, 2SLS) bases its overid test on the Hansen J statistic from the two-step GMM VCE. The endog test is the difference between two Hansen J statistics. Thus it does not matter, for the overid test and the endog test, whether you estimate the equation with 2SLS or GMM. The coefficient vector and its VCE change, of course, but the tests are based on the optimal two-step VCE in either case.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html

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