XTOVERID: Stata module to calculate tests of overidentifying restrictions after xtreg, xtivreg, xtivreg2, xthtaylor
Mark Schaffer () and
Steven Stillman ()
Statistical Software Components from Boston College Department of Economics
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. This routine is now included in the overid package.
Requires: Stata version 8.2 and ivreg2, ranktest from SSC
Keywords: instrumental variables; Hausman test; overidentifying restrictions; panel data; fixed effects; random effects; G2SLS; EC2SLS; Hausman-Taylor estimator (search for similar items in EconPapers)
Date: 2006-10-21, Revised 2016-01-15
Note: This module should be installed from within Stata by typing "ssc install xtoverid". 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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Downloads: (external link)
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)
http://fmwww.bc.edu/repec/bocode/c/cs_xtoverid.do certification script (text/plain)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s456779
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