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re: st: Tests of overidentifying restrictions after xtivreg2


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   re: st: Tests of overidentifying restrictions after xtivreg2
Date   Mon, 1 Mar 2010 10:56:25 -0500

<>
I have estimated the following equation by using xtivreg2, gmm function:

 

xtivreg2 lsalary ceodual ........ (ownexr ownex2r ownex3r L.ldiv
L.debt=lrisk ..., fe gmm cluster(id) small ffirst

 

The test results turn out fine.  But when I continue with the xtoverid test
after the above estimation, 

 

xtoverid, cluster(id)

 

the following error message appears:

 

xtoverid error: internal reestimation of eqn differs from original

r(198);

 

I read the help file of xtoverid and it is mentioned that it supports
xtivreg2.  May I know what is the problem and how to fix it?



This appears to be a bug in xtoverid, and the authors of that routine have been notified. However there is no reason to use xtoverid (from SSC) in this case. The xtivreg2 output, with GMM option invoked, gives you a Hansen J statistic. If xtoverid worked properly, it would give you the same J statistic. The only need for xtoverid is if you had used official xtivreg rather than user-written xtivreg2.

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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