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Re: st: -xtoverid- fails after -xtivreg, re-


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: -xtoverid- fails after -xtivreg, re-
Date   Sun, 13 Jun 2010 06:42:05 -0400

<>
On Jun 11, 2010, at 2:33 AM, Junxin wrote:

> 
> When I use -xtoverid- after -xtivreg, re-, report is "internal reestimation of eqn differs from original". However, -xtoverid- after -xtivreg, fe- is 0.7686. Does it mean I can not do sargan test or re?

I see no problem with the example of xtivreg,re in the xtoverid (SSC) help file:

. webuse nlswork 
(National Longitudinal Survey.  Young Women 14-26 years of age in 1968)

. tsset idcode year 
       panel variable:  idcode (unbalanced)
        time variable:  year, 68 to 88, but with gaps
                delta:  1 unit

. xtivreg ln_wage age (tenure = union south), re 

G2SLS random-effects IV regression              Number of obs      =     19007
Group variable: idcode                          Number of groups   =      4134

R-sq:  within  = 0.0559                         Obs per group: min =         1
       between = 0.1401                                        avg =       4.6
       overall = 0.0972                                        max =        12

                                                Wald chi2(2)       =    542.92
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =    0.0000

------------------------------------------------------------------------------
     ln_wage |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      tenure |   .1962067   .0128332    15.29   0.000     .1710541    .2213594
         age |  -.0398788   .0036139   -11.03   0.000    -.0469618   -.0327957
       _cons |   2.287752   .0698797    32.74   0.000      2.15079    2.424713
-------------+----------------------------------------------------------------
     sigma_u |  .37862603
     sigma_e |  .64315554
         rho |  .25737152   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented:   tenure
Instruments:    age union south
------------------------------------------------------------------------------

. xtoverid 

Test of overidentifying restrictions: 
Cross-section time-series model: xtivreg g2sls   
Sargan-Hansen statistic  97.874  Chi-sq(1)    P-value = 0.0000

. which xtoverid
/Users/baum/Library/Application Support/Stata/ado/plus/x/xtoverid.ado
*! xtoverid version 2.1.5   7Mar2010
*! Authors Mark Schaffer and Steve Stillman
*! Derived from overidxt and overid


Make sure you have the latest version of xtoverid.

Kit

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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