English, Article edition: OVERID: Stata module to calculate tests of overidentifying restrictions after ivreg, ivreg2, ivprobit, ivtobit, reg3 Christopher F Baum; Vince Wiggins; Steven Stillman; ...

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Bookmark: http://trove.nla.gov.au/version/102723
Physical Description
  • code
Language
  • English

Edition details

Title
  • OVERID: Stata module to calculate tests of overidentifying restrictions after ivreg, ivreg2, ivprobit, ivtobit, reg3
Author
  • Christopher F Baum
  • Vince Wiggins
  • Steven Stillman
  • Mark E Schaffer
Physical Description
  • code
Notes
  • 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 (ivreg or ivreg2), instrumental variables probit (ivprobit, twostep), instrumental variables Tobit (ivtobit, twostep) and three-stage least squares (reg3).
  • instrumental variables, overidentification, Sargan test, ivreg, ivreg2, ivprobit, ivtobit, reg3
  • RePEc:boc:bocode:s396802
Language
  • English
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