Dear Kit:
-overid- works like a charm now. Thank you very much for providing
Stata users with such a great resource and for updating the code!
There is a small discrepancy in the overidentification statistic.
. reg3 (dv = iv) (iv = ex1 ex2), 2sls
Two-stage least-squares regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" F-Stat P
----------------------------------------------------------------------
dv 10000 1 1.074345 0.2886 1008.56 0.0000
iv 10000 2 1.27832 0.4436 3985.68 0.0000
----------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
dv |
iv | .2989434 .0094132 31.76 0.000 .2804927
.3173941
_cons | .0047041 .0107439 0.44 0.662 -.0163548
.025763
-------------+----------------------------------------------------------------
iv |
ex1 | .796612 .0126401 63.02 0.000 .7718364
.8213877
ex2 | .8169581 .0128188 63.73 0.000 .7918322
.842084
_cons | -.0174155 .0127855 -1.36 0.173 -.0424762
.0076452
------------------------------------------------------------------------------
Endogenous variables: dv iv
Exogenous variables: ex1 ex2
------------------------------------------------------------------------------
. overid
Number of equations : 2
Total number of exogenous variables in system : 3
Number of estimated coefficients : 5
Hansen-Sargan overidentification statistic : 0.820
Under H0, distributed as Chi-sq(1), pval = 0.3653
What is a little odd, though, is that the Hansen Sargan statistic
returned by overid (using a simple two-equation model with 2SLS) is not
the same as ivreg2:
. ivreg2 dv (iv=ex1 ex2),
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs =
10000
F( 1, 9998) =
1008.56
Prob > F =
0.0000
Total (centered) SS = 16221.61478 Centered R2 =
0.2886
Total (uncentered) SS = 16221.64239 Uncentered R2 =
0.2886
Residual SS = 11539.86191 Root MSE =
1.074
------------------------------------------------------------------------------
dv | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
iv | .2989434 .0094123 31.76 0.000 .2804957
.3173911
_cons | .0047041 .0107428 0.44 0.661 -.0163514
.0257596
------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic):
4436.329
Chi-sq(2) P-val =
0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):
3985.676
Stock-Yogo weak ID test critical values: 10% maximal IV size
19.93
15% maximal IV size
11.59
20% maximal IV
size 8.75
25% maximal IV
size 7.25
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):
0.768
Chi-sq(1) P-val =
0.3808
------------------------------------------------------------------------------
Instrumented: iv
Excluded instruments: ex1 ex2
------------------------------------------------------------------------------
Best,
John.
____________________________________________________
Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
Faculty page:
http://www.hec.unil.ch/people/jantonakis
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
On 23.11.2009 17:10, Kit Baum wrote:
> <>
> Martin said
>
> " We have determined that this is caused by a bug in -ivtobit- return
> values, which we have worked around and reported to StataCorp."
>
>
> So the update to -overid- is somewhat ephemeral itself then? Once the
> official -ivtobit- has been fixed, -overid- can revert to its state
of last
> night?
>
> No. For one thing the reg3 handling code has been updated. For the
ivtobit issue, the problem -- as Martin reported -- was that ivtobit is
returning two or more variable names in e(depvar). We have pulled off
word 1 of depvar, which will work even when e(depvar) is corrected to be
a single word.
>
> 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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*
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