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XTOVERID: Stata module to calculate tests of overidentifying restrictions after xtreg, xtivreg, xtivreg2, xthtaylor

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Author Info

  • Mark E Schaffer

    ()
    (Heriot-Watt University)

  • Steven Stillman

    ()
    (Motu Economic and Public Policy Research)

Abstract

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. xtoverid will report tests of overidentifying restrictions after IV estimation using fixed effects, first differences, random effects, and the Hausman-Taylor estimator. 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.

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File URL: http://fmwww.bc.edu/repec/bocode/x/xtoverid.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/x/xtoverid.hlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/c/cs_xtoverid.do
File Function: certification script
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456779.

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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: 02 Nov 2011
Handle: RePEc:boc:bocode:s456779

Note: This module should 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

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

Related research

Keywords: instrumental variables; Hausman test; overidentifying restrictions; panel data; fixed effects; random effects; G2SLS; EC2SLS; Hausman-Taylor estimator;

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