Damon,
I have a version of a program that does a Sargan test of overidentifying
restrictions after estimation by EC2SLS or G2SLS. I got it working but
there were some minor issues relating to small-sample corrections that got
in the way and stopped me from making it generally available. It's
probably good enough for your purposes, though. If you contact me off-
list, I can send it to you and we can see if it does what you want.
Cheers,
Mark
Quoting Damon Cann <[email protected]>:
> I have a set of panel data with endogenous variables. Executing an
>
> error components two-stage least squares model poses no problem, but
> I
> want to show that I've met the assumptions of the method. I'm not
>
> certain that the standard specification tests for 2SLS are valid
> after
> ec2SLS.
>
> Particularly, I want to know if I can proceed with the following two
>
> tests as though my EC2SLS results were 2SLS results.
>
> *Hausman test for exogeneity (should I compare the EC2SLS to a
> random
> effects model instead of to OLS?)
> *Test of Overidentifying restrictions (a la Davidson and
> MacKinnon)
>
>
> Many thanks for any comments,
>
> Damon Cann
> [email protected]
>
> *
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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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