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

Christopher Baum (), Vince Wiggins (), Steven Stillman () and Mark Schaffer ()
Additional contact information
Vince Wiggins: Stata Corporation

Statistical Software Components from Boston College Department of Economics

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 (ivreg or ivreg2), instrumental variables probit (ivprobit, twostep), instrumental variables Tobit (ivtobit, twostep) and three-stage least squares (reg3).

Language: Stata
Requires: Stata version 9.2
Keywords: instrumental variables; overidentification; Sargan test; ivreg; ivreg2; ivprobit; ivtobit; reg3 (search for similar items in EconPapers)
Date: 1999-11-22, Revised 2009-11-23
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.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/o/overid.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/o/overid.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s396802

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