st: RE: Overidentifying restriction test for 2sls with clustered error and for any ML

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Suyin,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Suyin Chang
> Sent: 13 January 2014 05:42
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Overidentifying restriction test for 2sls with clustered error and
> for any ML
> 
> Dear list,
> 
> A few weeks ago I came to you with a more general question on post-
> estimation for system of equations. This time I try to refine the questions a
> little bit, going directly to issue I am having trouble
> with: I need to test for the over-identification restriction of a non-recursive
> system of two equations estimated by 2sls with clustered se and by ML.
> 
> The first problem is that Stata 12 doesn't seem to have estat overid
> implemented for 2sls with clustered error, only for GMM with clustered
> error. Does anyone know a solution or a workaround for that? I've found a
> couple of past threads in the list's archives, but quite inconclusive on the
> matter.

-ivreg2-, available from SSC in the usual way, automatically reports an overid stat after IV/2SLS estimation with cluster-robust SEs.

--Mark

> 
> The second problem is that Stata 12 does not have any post-estimation test
> for instrumentalization of systems estimated with the comand sem, i.e. via
> ML. Once I am dealing with a nonrecursive model, it is crucial for me to verify
> the overidentification restriction and maybe find a way to assess the strength
> of instruments also under ML. Any ideas here would be also very welcome.
> 
> Please, give me any insights or suggestions you may find useful.
> 
> Thanks for your time,
> 
> Suyin
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