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You get different results for the overid test and endog test in (2)
because you're using a different VCE. If you use the same VCE they
agree exactly.
webuse nlswork, clear
ivregress 2sls wks_ue ( tenure = hours c_city union) grade
estat overid
estat endog
ivreg2 wks_ue ( tenure = hours c_city union) grade, endog(tenure)
Re (1), ivreg2 without the gmm2s option (that is, 2SLS) bases its
overid test on the Hansen J statistic from the two-step GMM VCE. The
endog test is the difference between two Hansen J statistics. Thus it
does not matter, for the overid test and the endog test, whether you
estimate the equation with 2SLS or GMM. The coefficient vector and its
VCE change, of course, but the tests are based on the optimal two-step
VCE in either case.
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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