Thanks Kit for your helpful insight about the endog test.
One more question,
Kit said: "You get different results for the overid test and endog test
in (2)
because you're using a different VCE. If you use the same VCE they
agree exactly."
I am sorry for the typo. I meant to have clustered standard errors
"cl(idcode)" in both -ivregress- and -ivreg2- command lines. I get
different results for the overid test and endog test when I used
clustered standard errors in both -ivregress- and -ivreg2-.
************************************************************************
*************
webuse nlswork, clear
ivregress 2sls wks_ue ( tenure = hours c_city union) grade, cl(idcode)
estat overid
estat endog
ivreg2 wks_ue ( tenure = hours c_city union) grade, endog(tenure)
cl(idcode)
************************************************************************
**************
***************************************************************
Results from -ivregress-
. estat overid
Test of overidentifying restrictions:
Score chi2(2) = 4.32413 (p = 0.1151)
. estat endog
Tests of endogeneity
Ho: variables are exogenous
Robust regression F(1,4007) = .195661 (p = 0.6583)
(Adjusted for 4008 clusters in idcode)
****************************************************************
************************************************************************
*****
Results from -ivreg2-
------------------------------------------------------------------------
------
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
------------------------------------------------------------------------
------
************************************************************************
******
Thanks
Regards,
Kelvin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Kit Baum
Sent: Tuesday, 3 November 2009 11:58 AM
To: [email protected]
Subject: st: re: overidentification test and endogeneity test with
-ivreg2-
<>
You get different results for the overid test and endog test in (2)
because you're using a different VCE. If you use the same VCE they
agree exactly.
webuse nlswork, clear
ivregress 2sls wks_ue ( tenure = hours c_city union) grade
estat overid
estat endog
ivreg2 wks_ue ( tenure = hours c_city union) grade, endog(tenure)
Re (1), ivreg2 without the gmm2s option (that is, 2SLS) bases its
overid test on the Hansen J statistic from the two-step GMM VCE. The
endog test is the difference between two Hansen J statistics. Thus it
does not matter, for the overid test and the endog test, whether you
estimate the equation with 2SLS or GMM. The coefficient vector and its
VCE change, of course, but the tests are based on the optimal two-step
VCE in either case.
Kit Baum | Boston College Economics & DIW Berlin |
http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata |
http://www.stata-press.com/books/imeus.html
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