English, Article edition: XTOVERID: Stata module to calculate tests of overidentifying restrictions after xtreg, xtivreg, xtivreg2, xthtaylor Mark E Schaffer; Steven Stillman

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Bookmark: http://trove.nla.gov.au/version/102807
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  • code
Language
  • English

Edition details

Title
  • XTOVERID: Stata module to calculate tests of overidentifying restrictions after xtreg, xtivreg, xtivreg2, xthtaylor
Author
  • Mark E Schaffer
  • Steven Stillman
Physical Description
  • code
Notes
  • 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. 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. xtoverid requires the current version of the ivreg2 package (q.v.)
  • instrumental variables, Hausman test, overidentifying restrictions, panel data, fixed effects, random effects, G2SLS, EC2SLS, Hausman-Taylor estimator
  • RePEc:boc:bocode:s456779
Language
  • English
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