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From | Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Overidentification Tests |
Date | Tue, 30 Aug 2011 15:33:33 -0700 |
If you note that 3SLS is the GMM estimator under system homskedasticity, then tranferring calculations to -gmm- produces a J-statistic directly. This example is taken from the Stata manual ([R]) entry on -gmm-: /*************************************/ webuse klein, clear // 3SLS via -reg3- reg3 (consump = wagepriv wagegovt) /// (wagepriv = consump govt capital1), /// endog(consump wagepriv) exog(wagegovt govt capital1) // 3SLS via -gmm- gmm (eq1: consump - {b0} - {xb: wagepriv wagegovt}) /// (eq2: wagepriv - {c0} - {xc: consump govt capital1}), /// instruments(wagegovt govt capital1) /// winitial(unadjusted, independent) /// wmatrix(unadjusted) twostep // J-statistic estat overid /*************************************/ This way, your estimation can also easily be made robust to heteroskedasticity. See several old Statalist posts by Christopher Baum on -reg3-/-sureg- and 3SLS estimation to get an idea of its limitations. T On Tue, Aug 30, 2011 at 12:59 PM, Lopez, Andres <Andres.Lopez@occ.treas.gov> wrote: > Hi All, > > If I wanted to do an overidentification test after a REG3 (3SLS) what command/procedure would you use? What are the limitations of this procedure that I should be aware of, given that I am running a 6 equation system with 11 unbalanced panels with about 17 observations per panel/period? > > Thanks, > > Andres > > > * > * 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/ > -- Tirthankar Chakravarty tchakravarty@ucsd.edu tirthankar.chakravarty@gmail.com * * 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/