<>
John used the 2sls option on reg3 on a two-equation system and commented:
What is a little odd, though, is that the Hansen Sargan statistic
returned by overid (using a simple two-equation model with 2SLS) is not
the same as ivreg2:
Not really odd, in that the overid statistic from reg3 (even if you have estimated the model ignoring cross-equation correlation) is calculated for the entire system of two equations and five coefficients, rather than the single equation containing only two of those coefficients. As the -overid- help file describes, the overid stat for 3SLS takes account of the entire system estimates. Perhaps we should disable its use if you use ols, sure, 2sls or mvreg options in reg3, as it is not obvious that it is appropriate in those circumstances. It is meant to be used after 3sls estimation.
Kit
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
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
