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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

    () (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.

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 05 Jan 2016.
  • 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.
    as

    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
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    File URL: http://fmwww.bc.edu/repec/bocode/c/cs_xtoverid.do
    File Function: certification script
    Download Restriction: no

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