st: RE: xtoverid error: internal reestimation of eqn differs from original

[SEZER ALCAN <sezer.alcan@hazine.gov.tr>]

Dr Schaffer,
 Although xtoverid gives error,  xtoverid, noi still reports under identification test, weak identification test and sargan statistics. 
What if internal estimation results by ivreg2  after xtoverid,noi  command does show any collinearity (no regressors are dropped) is it possible to rely on these test results?

Regards,
Sezer Alcan
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Schaffer, Mark E [M.E.Schaffer@hw.ac.uk]
Sent: Wednesday, January 22, 2014 10:16 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: xtoverid error: internal reestimation of eqn differs from original

Sezer,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of SEZER ALCAN
> Sent: 22 January 2014 18:11
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtoverid error: internal reestimation of eqn differs from original
>
> When I use xtoverid command in stata after estimation by xthtaylor or xtivreg
> re /xtivreg fe,    I get "xtoverid error: internal reestimation of eqn differs from
> original".  I read all replies under this subject; Dr Schaffer says that it may be
> because of collinearity. However when I execute " xtoverid, noisily " I do not
> detect any collinearity.

Strictly speaking, my suggestion isn't that collinearity is causing the internal reestimation to vary from the original estimation.  Rather, it's how Stata's official xthtaylor or xtivreg handles the collinearity vs. how the internal reestimation by xtoverid (using ivreg2) handles it.

If there is perfect collinearity, Stata estimators will typically drop enough regressors or instruments to make the collinearity go away.  But which of the collinear regressors get dropped can vary.  And this can make the estimated coefficients vary even though, in some sense, it's the same model.

If you look at the internal estimation results by ivreg2 that xtoverid,noi reports, you should see at the bottom of the main output whether ivreg2 is dropping any collinear regressors or instruments.  You won't be able to easily map the ones that are being dropped to your dataset, because xtoverid uses temporary variables, but it should at least be a good clue to what is going on.

HTH,
Mark

>
> I was wondering if this problem was due to unbalanced nature of the panel I
> was using. If so what other  test can be executed to test over identification
> restrictions in an unbalanced panel.
> If collinearity isn't the problem of the error, can  xtoverid, noi test results be
> trusted ?
>
>
> I work wiht Stata 12 and latest version of xtoverid is installed.
>
> Thanks all in advance,
> Sezer Alcan
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