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Re: st: Overidentification Tests


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Overidentification Tests
Date   Tue, 30 Aug 2011 15:33:33 -0700

If you note that 3SLS is the GMM estimator under system
homskedasticity, then tranferring calculations to -gmm- produces a
J-statistic directly. This example is taken from the Stata manual
([R]) entry on -gmm-:

/*************************************/
webuse klein, clear
// 3SLS via -reg3-
reg3 (consump = wagepriv wagegovt) ///
	(wagepriv = consump govt capital1), ///
	endog(consump wagepriv) exog(wagegovt govt capital1)

// 3SLS via -gmm-
gmm (eq1: consump - {b0} - {xb: wagepriv wagegovt}) ///
	(eq2: wagepriv - {c0} - {xc: consump govt capital1}), ///
	instruments(wagegovt govt capital1) ///
	winitial(unadjusted, independent) ///
	wmatrix(unadjusted) twostep

// J-statistic
estat overid
/*************************************/

This way, your estimation can also easily be made robust to
heteroskedasticity. See several old Statalist posts by Christopher
Baum on -reg3-/-sureg- and 3SLS estimation to get an idea of its
limitations.

T


On Tue, Aug 30, 2011 at 12:59 PM, Lopez, Andres
<Andres.Lopez@occ.treas.gov> wrote:
> Hi All,
>
> If I wanted to do an overidentification test after a REG3 (3SLS) what command/procedure would you use? What are the limitations of this procedure that I should be aware of, given that I am running a 6 equation system with 11 unbalanced panels with about 17 observations per panel/period?
>
> Thanks,
>
> Andres
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
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> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Tirthankar Chakravarty
tchakravarty@ucsd.edu
tirthankar.chakravarty@gmail.com

*
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