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st: Likelihood Ratio test for IV regressions


From   Cory Smith <corybsmith@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Likelihood Ratio test for IV regressions
Date   Fri, 12 Apr 2013 11:02:09 -0400

Hi Statalisters,

Is there any kind of likelihood ratio (or equivalent) test that
assesses the overall fit of an IV model (2sls, liml...)? I had figured
no because an IV's overall fit can be strange, have negative R^2 etc.,
but I couldn't find a paper saying so and figured I'd confirm.

If such a test existed, it might compare models like:
i:  ivreg y (w1 = z1) x
ii: ivreg y (w1 w2 = z1 z2) x

and say, e.g., that model ii is probably a better overall fit so I
should include w2 and z2 in my regressions.

Thanks for the help!
Cory
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