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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: re: overid |

Date |
Tue, 1 Dec 2009 16:16:43 -0000 |

Hi all. For anyone who is interested in the detail of the different overid stats generated by -overid- after 2SLS and -reg3-, here is an illustration. (First read Kit's posting below.) The usual single-equation Sargan statistic is often calculated as an N*R-sq following an artificial regression. Sometimes in the literature you will see a reference to a Sargan stat with a degrees of freedom correction, i.e., (N-L)*R-sq, where L is the number of regressors. If you use -overid- after -reg3- where the latter is used to do 2SLS, you will get the latter form of the Sargan stat. If you include the -nodfk- option with -reg3- and then run -overid-, you get the first and more common version of the Sargan stat. The Stata output below illustrates. --Mark . use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta, clear (Wages of Very Young Men, Zvi Griliches, J.Pol.Ec. 1976) . * Standard Sargan statistic with no dof correction . qui ivreg2 lw s expr tenure rns smsa (iq=med kww age mrt) . di %10.7f e(j) 61.1365980 . qui reg3 (lw =iq s expr tenure rns smsa), endog(iq) exog(med kww age mrt s expr > tenure rns smsa) 2sls nodfk . qui overid . di %10.7f r(crit) 61.1365980 . . * Sargan stat with dof correction . qui ivreg2 lw s expr tenure rns smsa (iq=med kww age mrt) . overid, all Tests of overidentifying restrictions: Sargan N*R-sq test 61.137 Chi-sq(3) P-value = 0.0000 Sargan (N-L)*R-sq test 60.572 Chi-sq(3) P-value = 0.0000 Basmann test 65.623 Chi-sq(3) P-value = 0.0000 Sargan pseudo-F test 20.191 F(3,751) P-value = 0.0000 Basmann pseudo-F test 21.874 F(3,748) P-value = 0.0000 . di %10.7f r(sargan2) 60.5720120 . qui reg3 (lw =iq s expr tenure rns smsa), endog(iq) exog(med kww age mrt s expr > tenure rns smsa) 2sls . qui overid . di %10.7f r(crit) 60.5720120 > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum > Sent: 01 December 2009 00:34 > To: statalist@hsphsun2.harvard.edu > Subject: st: re: overid > > <> > An earlier exchange discussed the behavior of > overidentification test statistics via -overid- (SSC: Baum, > Schaffer, Stillman & Wiggins) after -reg3- and -reg3, 2sls-. > We have corresponded StataCorp developers, and they have > pointed out that some of the differences we identified were > arising because of degrees-of-freedom adjustments. If the > -2sls- option on -reg3- is used, the -nodfk- option should > also be invoked. Then reg3, applied to a single equation, > will yield the same Sargan statistic as single-equation > estimation via -ivreg2- or -ivregress-. > > If -reg3- is used to estimate multiple equations, its > estimated coefficients and covariance matrix will differ if > the -2sls- option is specified (w/w/o -nodfk-). In that > instance, the Sargan statistic after -reg3, 2sls- will not > match that of -overid- after -reg3, 3sls-. If the full 3SLS > estimator is used, the Sargan statistics of -ivreg2-, > -ivregress- and -reg3- will match. > > As far as we can see, both official -reg3- and user-written > -overid- after -reg3- are behaving perfectly. > > Kit and Mark > > 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 > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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