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


From   gjhxmu@sina.com
To   statalist<statalist@hsphsun2.harvard.edu>
Subject   Re: st: re:how to do the overindetification test in -ivprobit with -mle- option?
Date   Tue, 29 Dec 2009 00:48:21 +0800

Dear Kit,
thank you very much for reply and help.
I did want to estimate coefficients by -mle- and do the overindetification test by -overid- after twostep option. However, not be sure of its reliability before.
Thank you very much for your programme and help^_^
 
Best regards,
Rose
 
 
----- Original Message -----
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: 2009-12-28 21:16:17

<>
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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