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

Author

Listed:
  • Mark E Schaffer

    (Heriot-Watt University)

  • Steven Stillman

    (Free University of Bozen-Bolzano)

Programming Language

Stata

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. This routine is now included in the overid package.

Suggested Citation

  • Mark E Schaffer & Steven Stillman, 2006. "XTOVERID: Stata module to calculate tests of overidentifying restrictions after xtreg, xtivreg, xtivreg2, xthtaylor," Statistical Software Components S456779, Boston College Department of Economics, revised 15 Jan 2016.
    • Handle: RePEc:boc:bocode:s456779
    Note: This module should be installed from within Stata by typing "ssc install xtoverid". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoverid.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtoverid.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_xtoverid.do
    File Function: certification script
    Download Restriction: no
    ---><---

    Citations

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    Cited by:

    1. Cristian Sepulveda & Jorge Martinez-Vazquez, 2012. "Explaining property tax collections in developing countries: the case of Latin America," Chapters, in: Giorgio Brosio & Juan P. Jiménez (ed.), Decentralization and Reform in Latin America, chapter 7, pages iii-iii, Edward Elgar Publishing.
    2. Bernard Fingleton & Simonetta Longhi, 2013. "The Effects Of Agglomeration On Wages: Evidence From The Micro-Level," Journal of Regional Science, Wiley Blackwell, vol. 53(3), pages 443-463, August.
    3. Claus Puhr & Reinhardt Seliger & Michael Sigmund, 2012. "Contagiousness and Vulnerability in the Austrian Interbank Market," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 62-78.
    4. repec:unu:wpaper:wp2012-42 is not listed on IDEAS
    5. Datta, Souvik & Gulati, Sumeet, 2014. "Utility rebates for ENERGY STAR appliances: Are they effective?," Journal of Environmental Economics and Management, Elsevier, vol. 68(3), pages 480-506.
    6. David Vázquez Guzman, 2012. "A comparative study of well-being for elders in Mexico and England," Estudios Regionales en Economía, Población y Desarrollo. Cuadernos de Trabajo de la Universidad Autónoma de Ciudad Juárez. 9, Cuerpo Académico 41 de la Universidad Autónoma de Ciudad Juárez, revised 09 Dec 2012.
    7. Fleisher, Belton & Li, Haizheng & Zhao, Min Qiang, 2010. "Human capital, economic growth, and regional inequality in China," Journal of Development Economics, Elsevier, vol. 92(2), pages 215-231, July.
    8. Lawrence King & Osvaldo Gómez Martínez, 2010. "Property Rights Reform and Development: A Critique of the Cross-National Regression Literature," Working Papers wp216, Political Economy Research Institute, University of Massachusetts at Amherst.
    9. Gilbert Cette & Samuel Chang & Maty Konte, 2011. "The decreasing returns on working time: an empirical analysis on panel country data," Applied Economics Letters, Taylor & Francis Journals, vol. 18(17), pages 1677-1682.
    10. Souvik Datta & Massimo Filippini, 2012. "Analysing the Impact of ENERGY STAR Rebate Policies in the US," CEPE Working paper series 12-86, CEPE Center for Energy Policy and Economics, ETH Zurich.
    11. Quattri, Maria A. & Fosu, Augustin Kwasi, 2012. "On The Impact Of External Debt And Aid On Public Expenditure Allocation In Sub-Saharan Africa After The Launch Of The Hipc Initiative," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126879, International Association of Agricultural Economists.
    12. Rudy Douven & Remco Mocking & Ilaria Mosca, 2012. "The Effect of Physician Fees and Density Differences on Regional Variation in Hospital Treatments," CPB Discussion Paper 208, CPB Netherlands Bureau for Economic Policy Analysis.

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