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RE: Re: st: instrumental variable estimation problems


From   Tunga Kantarci <tungakantarci@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   RE: Re: st: instrumental variable estimation problems
Date   Mon, 7 Dec 2009 16:38:07 +0100

Mark,

> The answer to your question is yes, the residuals produced by -predict-
> are the standard residuals as defined by textbooks etc: they use the
> actual value of the variable "endo".

> It looks like you are doing an artificial regression procedure obtain a
> overid test statistic.  If I'm not mistaken, the uncentered R2 from
> regressing the IV residuals on the instruments is the overid test stat
> you are calculating.  It should be the same numerically as the Sargan
> statistic produced by -ivreg2-, -overid-, or -estat- following
> -ivregress-.
> Cheers,
> Mark

Thank you. Your answers makes it clear. You are right that I am carrying out
an overid test. Tough I don't know why you call it 'an artificial regression
procedure'. Yes, I do not follow a direct command to carry out the test. I
am a TA and I am writing a solution to an IV exercise. My idea was to
indicate the logic of the test by showing all the steps taken in an overid
test. That is why I am following the steps. 

Regards,
Tunga


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