Dear All,
I would like to know why I get identical overidentifcation test and
endogeneity test results (Results 1) with the following code (regardless
of 2SLS and GMM).
----Begin Example----
webuse nlswork, clear
sort idcode year
tsset idcode year
ivreg2 wks_ue ( tenure = hours c_city union) grade, cl(idcode)
endog(tenure)
ivreg2 wks_ue ( tenure = hours c_city union) grade, cl(idcode)
endog(tenure) gmm
----End Example----
Results 1:
------------------------------------------------------------------------
------
Hansen J statistic (overidentification test of all instruments):
3.519
Chi-sq(2) P-val =
0.1722
-endog- option:
Endogeneity test of endogenous regressors:
0.567
Chi-sq(1) P-val =
0.4513
Regressors tested: tenure
------------------------------------------------------------------------
------
Finally, I would like to know why I get different overidentification and
endogeneity test results when I use -ivreg2- (Results 1) and -ivregress
2sls- (Results 2).
----Begin Example----
webuse nlswork, clear
sort idcode year
tsset idcode year
ivreg2 wks_ue ( tenure = hours c_city union) grade, cl(idcode)
endog(tenure)
ivregress 2sls wks_ue ( tenure = hours c_city union) grade
estat endog
estat overid
----End Example----
Results 2
-----------------------------------------------------------------
. estat endog
Tests of endogeneity
Ho: variables are exogenous
Durbin (score) chi2(1) = .231066 (p = 0.6307)
Wu-Hausman F(1,13638) = .231002 (p = 0.6308)
. estat overid
Tests of overidentifying restrictions:
Sargan (score) chi2(2) = 4.54419 (p = 0.1031)
Basmann chi2(2) = 4.54404 (p = 0.1031)
-------------------------------------------------------------------
Thanks in advance.
Regards,
Kelvin
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