> > I was doing instrumental variable regression on stata, and tried estat > overid command to test whether the instrument is exogenous. However, > the program shows "no overidentifying restriction", which looks like > an error message to me. Does that mean we should reject the null or >...
These estimates are pretty much the same as the ivreg2 estimates fromStata. Now, when I constrain the covariance between the two error terms of the endogenous variables to be to be zero, I have what I termed "an overidentifying restriction": TESTS OF MODEL FIT Chi-Square Test of Model Fit...
Hencethe model is just-identified. Constraining the covariance to beorthogonal would provide for an overidentifying test. However,theoretically, estimating this covariance is necessary to account forthe common cause of x and y not included in the model (so it would be anunreasonable restriction to ...