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

Author

Listed:
  • Christopher F Baum

    () (Boston College)

  • Vince Wiggins

    () (StataCorp LP)

  • 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 (ivreg2, ivreg29, ivregress), instrumental variables probit (ivprobit, twostep), instrumental variables Tobit (ivtobit, twostep) and three-stage least squares (reg3).

Suggested Citation

  • Christopher F Baum & Vince Wiggins & Steven Stillman & Mark E Schaffer, 1999. "OVERID: Stata module to calculate tests of overidentifying restrictions after ivreg2, ivreg29, ivregress, ivprobit, ivtobit, reg3," Statistical Software Components S396902, Boston College Department of Economics, revised 18 May 2016.
  • 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.
    as

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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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