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st: RE: re: overid error


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: re: overid error
Date   Tue, 24 Nov 2009 12:39:53 -0000

Kit,

Am I missing something?  I ran the code you posted and the residuals
look alike:

. su eps* dif*

    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
       eps31 |       758   -2.43e-12    .3251221  -1.171273   1.144041
       eps32 |       758    2.23e-12    11.10275  -51.36207   35.72457
       eps21 |       758   -4.36e-14    .3251221  -1.171273   1.144041
       eps22 |       758   -3.27e-12     11.0972  -51.23323   35.13828
        dif1 |       758   -2.39e-12    1.12e-13  -2.73e-12  -1.93e-12
-------------+--------------------------------------------------------
        dif2 |       758    5.50e-12    .3511293  -.8901897   1.081768

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum
> Sent: Tuesday, November 24, 2009 12:18 PM
> To: statalist@hsphsun2.harvard.edu
> Cc: Schaffer, Mark E
> Subject: st: re: overid error
> 
> <>
> John points out that the old overid code for reg3 produced 
> the same overid stat if 3SLS was being performed. That is 
> still true with the new overid code:
> 
> use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta, clear
> xi i.year
> qui ivreg2 lw s expr tenure rns smsa _I* (iq=med kww age mrt)
> predict double eps31, res equation(lw)
> predict double eps32, res equation(iq)
> overid
> 
> qui reg3 (lw =iq s expr tenure rns smsa _I*) (iq=med kww age 
> mrt s expr ///
> tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 
> _Iyear_71 _Iyear_73)
> predict double eps21, res equation(lw)
> predict double eps22, res equation(iq)
> overid
> 
> He wonders why the same result is not obtained if the 2sls 
> option is invoked in reg3:
> 
> qui reg3 (lw =iq s expr tenure rns smsa _I*) (iq=med kww age 
> mrt s expr ///
> tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 
> _Iyear_71 _Iyear_73), 2sls
> overid
> 
> and it is not. Obviously the logic of overid is the same  (I 
> am using the current version of overid, incorporating more 
> efficient code), so the issue is what is changing in the 
> information passed along to overid by reg3.  The most 
> important information involves the residuals. I have included 
> statements to save those above. Now let's see if they differ:
> 
> g double dif1 = eps31 - eps21
> g double dif2 = eps32 - eps22
> su eps* dif*
> 
> examination of the output reveals that the residuals from the 
> first equation are identical to near machine precision. The 
> residuals from the second equation (the FSR in ivreg2) are 
> not. Ergo, the overid stat differs. I will not disable the 
> use of overid after reg3 options such as 2sls, but I think I 
> will add a warning that the statistic is designed for use in 
> 3SLS, and may not be applicable elsewhere.
> 
> 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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