The overid routine of Baum, Wiggins, Stillman, and Schaffer has been
revised.
Previous versions of this routine, which calculates various "Sargan"-type
tests for overidentifying restrictions in an instrumental variables
setting, would generate results when the number of observations fell short
of the number of instruments. In this circumstance, the cross-products
matrix of instruments (Z'Z) is rank-deficient. -ivreg- will estimate such a
model, but by construction returns OLS results. We have prevented -overid-
from working with such a model, since it does not fulfill the textbook
requirements (of a full-rank Z'Z) for an instrumental variables estimator.
ssc install overid will retrieve the latest version.
