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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Two stage least square estimation overidentified Sargan test |

Date |
Wed, 1 Jun 2011 11:44:21 -0400 |

Not linear transformations--nonlinear transformations. Are you referring perhaps to p 523 of http://www.stata-journal.com/sjpdf.html?articlenum=st0136 ? Note that if you assume Z and e are independent, rather than simply that Z and e are uncorrelated, you can use all manner of transformations of Z as additional excluded instruments. You can also interact Z with any X that you consider exogenous. In each case, the overid test is a diagnostic of how reasonable your assumption was. Be careful of multiple testing and pretesting bias though--if you have a lot of poor instruments, some are bound to pass an overid test and give you really poor estimates. On Wed, Jun 1, 2011 at 6:11 AM, claudiac.4@libero.it <claudiac.4@libero.it> wrote: > Dear statalist, > > I am working with a just identified model thus I can not perform the validity > test proposed by Stata 10 (Sargan test). I read in previous discussion that to > avoid this problem it is possible to increment the number of instruments by > adding linear transformations of these. Does someone know something more about > this? What are the main theoretical references?Please let me know. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Two stage least square estimation overidentified Sargan test***From:*"claudiac.4@libero.it" <claudiac.4@libero.it>

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