Geoff,
The answer to Victoria's question and yours is "yes, almost". An overid
test for a 3SLS regression is a joint test of all the orthogonality
conditions. If you estimate each of the equations separately by IV and do
an overid test for each, you're testing each of the sets of orthogonality
conditions separately. You don't end up in exactly the same place, but
it's close.
Hope this helps.
Cheers,
Mark
Quoting Geoff Edwards <[email protected]>:
> This was posted some time ago and I have the same query - can anyone
> advise?
>
> Thanks
> Geoff Edwards
>
> ________________________________________________
>
> >From "Victoria Levin" <[email protected]>
> To [email protected]
> Subject st: reg3 and overidentification
> Date Fri, 14 May 2004 18:26:58 -0400
>
> Hi,
> I am trying to do an overidentification test for a 3SLS regression.
> The overid command does not work after reg3, so I was wondering if there
> is a way of getting around that. If I re-run the model as ivreg2 and take
> the Sargan statistic from there, is that equivalent to testing
> overidentification for a 3SLS? Any suggestions on this topic would
> be greatly appreciated!
>
> Thanks in advance,
>
> Victoria
>
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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