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OVERID: Stata module to calculate tests of overidentifying restrictions after ivreg, ivreg2, ivreg29, ivprobit, ivtobit, reg3

Contents:

Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Vince Wiggins

    ()
    (Stata Corporation)

  • Steven Stillman

    ()
    (Motu Economic and Public Policy Research)

  • Mark E Schaffer

    ()
    (Heriot-Watt University, UK)

Abstract

overid computes versions of a "Sargan" or "Basmann" test of overidentifying restrictions for a number of instrumental variables estimators of an overidentified equation: a model in which the number of instruments exceeds the number of regressors. The estimators include instrumental variables regression (ivreg or ivreg2), instrumental variables probit (ivprobit, twostep), instrumental variables Tobit (ivtobit, twostep) and three-stage least squares (reg3).

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File URL: http://fmwww.bc.edu/repec/bocode/o/overid.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/o/overid.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S396902.

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Programming language: Stata
Requires: Stata version 10.0
Date of creation: 22 Nov 1999
Date of revision: 26 Apr 2010
Handle: RePEc:boc:bocode:s396802

Note: This module may be installed from within Stata by typing "ssc install overid". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: instrumental variables; overidentification; Sargan test; ivreg; ivreg2; ivprobit; ivtobit; reg3;

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