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st: C statistics with IVREG2


From   Rosaria Vega Pansini <rosariavega.pansini@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: C statistics with IVREG2
Date   Mon, 16 Dec 2013 18:11:37 +0100

Hi all,
I'm trying to compare two IV models with different instruments, one of
them suspected endogenous.
We compared Sargan stats calcultated over the two models: the first
with the full set of instruments and the second excluding the
suspected
endogenous instrument.
The results appears to be different to those obtained  including the
orthog  option in IVREG2 command.

As an example, here are the two models we are comparing;

Model 1:
ivreg2 hours educ  age kidslt6 kidsge6 nwifeinc (lwage=exper expersq
motheduc)
Sargan statistic (overidentification test of all instruments): 3.716

Model 2:
ivreg2 hours educ  age kidslt6 kidsge6 nwifeinc,gmm (lwage=exper expersq)
Sargan statistic (overidentification test of all instruments): 0.858
J1-J2= 2.858

Model 3:
ivreg2 hours educ  age kidslt6 kidsge6 nwifeinc  (lwage=exper
expersqmotheduc), orthog(motheduc)

C statistic (exogeneity/orthogonality of suspect instruments): 2.625

Can anyone help in explaining this difference, i.e. the difference
between the C-statistics (model 3) and the (simple) difference between
the two
Sargan statistics (Model 1 - Model 2)?

Thank you very much for your help
Rosaria
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