UNDERID: Stata module producing postestimation tests of under- and over-identification after linear IV estimation

Mark Schaffer () and Frank Windmeijer

Statistical Software Components from Boston College Department of Economics

Abstract: underid reports tests of underidentification and overidentification after estimation of single-equation linear instrumental variables (IV) models, including static and dynamic panel data models. Stata estimators supported include ivregress, ivreg2, xtivreg, xtivreg2, xthtaylor, xtabond2 and xtdpdgmm. Denote by y the dependent variable in a linear IV equation, Y the set of K endogenous regressors, and Z the set of L excluded instruments; any exogenous regressors X including the constant are partialled out. The model is underidentified if the rank of E(Z'Y) is less than K. Denote the first-stage coefficients by Pi and their OLS estimates by Pihat = inv(Z'Z)*Z'Y. The default underidentification test reported by underid is a test of the rank of E(Z'Y) or, equivalently, a test of the rank of Pi. The null hypothesis for underidentification is H0:rank(E(Z'Y))=K-1, with alternative H1: rank(E(Z'Y))=K, and therefore a rejection of the null indicates that the model parameters are identified. Overidentification tests in IV/GMM models are available when L exceeds K, i.e., the model is overidentified. The usual interpretation for a test of overidentification is that the null hypothesis is H0:E(Ze)=0, i.e., that the excluded instruments Z are orthogonal to the disturbance e. underid reports a range of related tests of underidentification and overidentification: Anderson, Cragg-Donald, Kleibergen-Paap, and Sargan-Hansen J-type 2-step GMM and Cragg-Donald CUE GMM tests. underid can report test statistics for both the classical setting (nonrobust, iid assumed) and statistics that are robust to various forms of heteroskedasticity, autocorrelation, and clustering.

Language: Stata
Requires: Stata version 13.1 and ranktest from SSC (q.v.)
Keywords: underidentification; overidentification; instrumental variables; GMM; CUE; LIML; Anderson canonical correlations test; Cragg-Donald test; Sargan-Hansen J test; ivregress; ivreg2; xtivreg; xtivreg2; xthtaylor; xtabond2; xtdpdgmm (search for similar items in EconPapers)
Date: 2020-07-03, Revised 2020-09-29
Note: This module should be installed from within Stata by typing "ssc install underid". 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/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/c/cs_underid_1.0.02.do certification script (text/plain)

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