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st: re:how to do the overindetification test in -ivprobit with -mle- option?


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re:how to do the overindetification test in -ivprobit with -mle- option?
Date   Mon, 28 Dec 2009 08:16:17 -0500

<>
Rose said

I know "You cannot use the -overid- test (Baum-Schaffer-Stillman from ssc) after the mle option. It only works after the -twostep- option.", so I ask "If I use the -mle- option, 
how to do the overindetification test?"

Beats the hell out of me. If I knew how to do that, I would have programmed it in -overid-!!!

But as both -mle- and -twostep- should be consistent estimators (if either are), why wouldn't a test result from -twostep- be supportive (or not) of your mle coefficient estimates?

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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