Re: Re: st: Overidentification Tests

[Christopher Baum <kit.baum@bc.edu>]

<>
On Aug 31, 2011, at 2:33 AM, Tirthankar wrote:

> 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.


Tirthankar makes very good points. But also note that -overid- from ssc (Baum/Schaffer/Stillman/Wiggins) will compute an overid stat
after reg3. But as Tirthankar said, the restriction that reg3 can only handle iid errors really bites.

Kit

Kit Baum   |   Boston College Economics and 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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