xtoverid computes versions of a test of overidentifying restrictions (orthogonality conditions) for a panel data estimation. For an instrumental variables estimation, this is a test of the null hypothesis that the excluded instruments are valid instruments, i.e., uncorrelated with the error term and correctly excluded from the estimated equation. The test statistic is distributed as chi-squared with degrees of freedom = L-K, where L is the number of excluded instruments and K is the number of regressors, and a rejection casts doubt on the validity of the instruments. A test of fixed vs. random effects is also a test of overidentifying restrictions, and xtoverid will report this test after a standard panel data estimation with xtreg,re.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S456779.
Size: Programming language: Stata Requires: Stata version 8.2 and ((ivreg2 | ivreg29) + ranktest) or ivreg28 from SSC Date of creation: 21 Oct 2006 Date of revision:
05 Feb 2010 Handle: RePEc:boc:bocode:s456779
Note: This module may be installed from within Stata by typing "ssc install xtoverid". 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