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st: re: overid error


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: overid error
Date   Mon, 23 Nov 2009 22:17:26 -0500

<>
John used the 2sls option on reg3 on a two-equation system and commented:

What is a little odd, though, is that the Hansen Sargan statistic 
returned by overid (using a simple two-equation model with 2SLS) is not 
the same as ivreg2:


Not really odd, in that the overid statistic from reg3 (even if you have estimated the model ignoring cross-equation correlation) is calculated for the entire system of two equations and five coefficients, rather than the single equation containing only two of those coefficients. As the -overid- help file describes, the overid stat for 3SLS takes account of the entire system estimates. Perhaps we should disable its use if you use ols, sure, 2sls or mvreg options in reg3, as it is not obvious that it is appropriate in those circumstances. It is meant to be used after 3sls estimation.

Kit

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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