OVERID: Stata module to conduct postestimation tests of overidentification

Christopher Baum, Vince Wiggins (), Steven Stillman, Mark Schaffer () and Frank Windmeijer
Additional contact information
Vince Wiggins: StataCorp LP

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 13.1 (version 9.2 for overid9)
Keywords: instrumental variables; overidentification; Sargan test; ivreg2; ivreg29; ivregress; xtabond2; xtdpdgmm; xtreg; ivprobit; ivtobit; reg3 (search for similar items in EconPapers)
Date: 1999-11-22, Revised 2020-09-29
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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Citations: View citations in EconPapers (9)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/o/overid.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/o/overid.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/o/overid9.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/o/overid9.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/u/underid.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/u/underid.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtoverid.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtoverid.hlp help file (text/plain)

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

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