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


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: RE: re: overidentification test and endogeneity test with -ivreg2-
Date   Wed, 4 Nov 2009 09:34:12 -0600 (CST)

On Tue, 3 Nov 2009, Schaffer, Mark E wrote:

Kelvin,


Kit and I are looking at this now.  We've worked out what's going on
with the overid test.  Curiously, -estat- after -ivregress- seems to
report a standard (heteroskedasticity)-robust overid test even when the
equation is estimated as cluster-robust.  Compare the following:


Mark identified the main problem here.  -estat overid- after -ivregress-
is reporting a heteroskedasticity-robust statistic even though you equested cluster-robust standard errors. We'll get this corrected in a future ado-file update.

  -- Brian Poi
  -- bpoi@stata.com

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