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OVERID: Stata module to conduct postestimation tests of overidentification

Author

Listed:
  • Christopher F Baum

    () (Boston College)

  • Vince Wiggins

    () (StataCorp LP)

  • Steven Stillman

    () (Free University of Bozen-Bolzano)

  • Mark E Schaffer

    () (Heriot-Watt University)

  • Frank Windmeijer

    () (University of Bristol)

Abstract

overid computes tests of overidentifying restrictions for a regression estimated via instrumental variables in which the number of instruments exceeds the number of regressors: that is, for an overidentified equation. These are tests of the joint null hypothesis that the excluded instruments are valid instruments, i.e., uncorrelated with the error term and correctly excluded from the estimated equation. A rejection casts doubt on the validity of the instruments. Supported estimators: ivregress, ivreg2, xtivreg, xtivreg2, xthtaylor, xtabond2, xtdpdgmm, ivprobit, ivtobit, reg3, ivreg29, xtreg. The overid routine was substantially rewritten starting with version 3. It is now essentially a wrapper for the programs underid (used for most linear IV estimators), overid9 (used for nonlinear IV estimators and reg3), and xtoverid (used for testing fixed vs random effects after xtreg). Full descriptions of the tests implemented by overid are available in the help files for these programs.

Suggested Citation

  • Christopher F Baum & Vince Wiggins & Steven Stillman & Mark E Schaffer & Frank Windmeijer, 1999. "OVERID: Stata module to conduct postestimation tests of overidentification," Statistical Software Components S396902, Boston College Department of Economics, revised 29 Sep 2020.
  • Handle: RePEc:boc:bocode:s396802
    Note: This module may be installed from within Stata by typing "ssc install overid". 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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    File URL: http://fmwww.bc.edu/repec/bocode/o/overid.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/o/overid.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/o/overid9.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/o/overid9.hlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/u/underid.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/u/underid.sthlp
    File Function: help file
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    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

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