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st: Re: overidentification test after reg3

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: overidentification test after reg3
Date   Thu, 28 Sep 2006 11:00:47 -0400

It is not apparent that this system is simultaneous. The dependent variables are dw1,dw3, dw3, exp, p1, p2, p3, p4 = 7. I do not see any of those variables on the RHS of other equations. If that is the case, there is no simultaneity here, and each equation can be estimated by OLS (or, with constraints across equations, as a SUR via sureg).

If there is no simultaneity, there is no question of identification, and thus no need for a test of overidentifying restrictions. It is not surprising that the routine referenced should come up with a huge number of d.f., as the number of exogenous variables is huge, and that will be multiplied by 7. By my count you're estimating 48 RHS coefficients (plus constant terms) minus 6 constraints, or 42. Somehow, I knew the answer should be 42.

Kit Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:

On Sep 28, 2006, at 2:33 AM, Valerie wrote:

am trying to run an over identification test for a constrained
simultaneaous model (with reg3). It is the following :

constraint 1 [dw1]dlnp2 = [dw2]dlnp1
constraint 2 [dw1]dlnp3 = [dw3]dlnp1
constraint 3 [dw2]dlnp3 = [dw3]dlnp2
constraint 4 [dw1]dlnp1 + [dw1]dlnp2 + [dw1]dlnp3 + [dw1]dlnp4 =0
constraint 5 [dw2]dlnp1 + [dw2]dlnp2 + [dw2]dlnp3 + [dw2]dlnp4 =0
constraint 6 [dw3]dlnp1 + [dw3]dlnp2 + [dw3]dlnp3 + [dw3]dlnp4 =0

reg3(dw1 ddeflexp dlnp1 dlnp2 dlnp3 dlnp4 period dlnyear) /*
*/ (dw2 ddeflexp dlnp1 dlnp2 dlnp3 dlnp4 period dlnyear)/*
*/ (dw3 ddeflexp dlnp1 dlnp2 dlnp3 dlnp4 period dlnyear) /*
*/ (exp explag PIB period)/*
*/ (p1 pxlaitcomteinterp pxlaitcomteinterplag1 ind_sal_interp
pourc_vol_ean_1 pourc_vol_MDDHD_1)/* */ (p2 pxlaitstandinterp
pxlaitstandinterplag1 ind_sal_interp pourc_vol_ean_2 pourc_vol_MDDHD_2)/*
*/ (p3 pxlaitcomteinterp pxlaitcomteinterplag1 pxlaitstandinterp
pxlaitstandinterplag1 ind_sal_interp pourc_vol_ean_3 pourc_vol_MDDHD_3
pourc_vol_parm pourc_vol_beauf) /*
*/ (p4 pxlaitstandinterp pxlaitstandinterplag1 ind_sal_interp
pourc_vol_ean_4 pourc_vol_MDDHD_4), cons(1-6)

The last 5 equations correspond to my instrumentations.
As it isn't possible to use the overid command (because I used reg3 and
not ivreg2), I have to rebuild the sargan test of overidentification.
I have found a the little and useful program written by Christopher Baum
to rebuild the J stat. I just don't well understand the degrees of
freedom calculated in his program (df = #eqns * #exog - #betas estimated
(net) = rowsof(esigma) * colsof(w) - (colsof(beta) - `nconstraint')).

With this, I obtain a df of 150 which is enormous. I'm probably wrong
somewhere. If someone has any suggestions....
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