st: RE: xt-overid

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Giannis,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Giannis Paraskeuopouls
> Sent: 26 July 2010 16:49
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xt-overid
> 
> Dear all,
> 
> I try to estimate a model using -xthtaylor (stata 10).
> 
> xthtaylor Y X1 X2 Z1 , endog(x2)
> 
> where,  x1 (x2) is a vector of time variant exogenous regressors
> (endogenous) and Z1 stands for time invariant exogenous regressors. 
> 
> This model seems to be ok. 
> 
> However, when applying the -xtoverid command to test the 
> over-identifying restrictions I get a message like "xtoverid 
> error: internal reestimation of eqn differs from original". I 
> also use the -noi option but I was not able to identify any 
> co-linearity.

What -xtoverid- is doing internally is reestimating the original model, but using -ivreg2- on the transformed data.  The error message says that this internal reestimation doesn't match the original.

The -noi- option lets you see the results of this internal reestimation.  Unfortunately, the variable names are all temporary variables rather than the originals, but maybe you can work out which is which.  In any case, the thing to do is to compare the results of the internal reestimation with your original estimation.  My guess is that you have some collinear excluded instruments, and -xtoverid-/-ivreg2- is dropping some of them.  With a little luck, the internal reestimation by -ivreg2- will have some informative messages along those or similar lines.

--Mark

> 
> However, even using a much smaller specification I also fail 
> to get the result.
> 
> Any suggestion will be very helpful for me.
> 
> Really many thanks for your time .
> 
> 
> 
> Thank you in advance,
> 
> G. P.
> 
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