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st: Question on XTOVERID


From   Davillas Apostolos <davillas@upatras.gr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Question on XTOVERID
Date   Mon, 22 Mar 2010 15:03:02 +0200

Dear all,
I am interesting in performing a Hausman-Taylor estimation in stata (using
-xthtaylor command).However, as an attempt to test the assumptions required
to get consistent estimators (that the most, except from the endogenous
regressors, are not correlated with the time-invariant error term), I did
following:
xtahylor y x z e f x, endog(z) /// note f, x and z time invariant
variables 
estimates store xt 
xtreg y x e, fe
estimates store fe
hausman fe xt 
In other words, I test the differences between the co-efficients from the
two models. If the H0 of no systematic difference was not rejected, the
instrumentation of the z variable is sufficient to remove any correlation
between the time-ivariant error term and the remaining regressors.
I am wondering what the -XTOVERID, after the -xtahylor command, could
exactly does? Reading the stata help file, I did not find any specific
reference for the case using the command after the xtahylor (except from
the calculation of the dof). 

Thank you in advance.

Apostolos 

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