*! version 1.4.2 06feb2024

*! Sebastian Kripfganz, www.kripfganz.de

*! Vasilis Sarafidis, sites.google.com/view/vsarafidis

Title

xtivdfreg postestimation -- Postestimation tools for xtivdfreg

Postestimation commands

The following postestimation commands are of special interest after xtivdfreg:

Command Description

estat overid perform test of overidentifying restrictions

The following standard postestimation commands are available:

Command Description

estat VCE and estimation sample summary

predict predictions, residuals, and other diagnostic measures

Syntax for predict

predict [type] newvar [if] [in] [, statistic]

statistic

Main
xb calculate linear prediction; the default

residuals calculate residuals

stdp calculate standard error of the prediction

Description for predict

predict creates a new variable containing predictions such as fitted values, standard errors, and residuals.

Options for predict

Main

xb calculates the linear prediction from the fitted model; see [R] predict. This is the default.

residuals calculates the residuals, i.e. the linear prediction subtracted from depvar.

stdp calculates the standard error of the linear prediction; see [R] predict.

Syntax for estat

Hansen tests of overidentifying restrictions

estat overid

Description for estat

estat overid reports the Hansen (1982) J-statistic which is used to determine the validity of the overidentifying restrictions.

Remarks for estat

The overidentification test statistic is constructed as a quadratic form of the moment functions with an asymptotically optimal weighting matrix. The latter is based on the first-stage residuals.
The test is not valid and therefore not reported for a model with heterogeneous slopes that is estimated with the mean-group estimator.

Saved results

estat overid saves the following in r():

Scalars

r(chi2) Hansen's J-statistic

r(df) degrees of freedom of Hansen's J-test

r(p) p-value of Hansen's J-test

Author

Sebastian Kripfganz, University of Exeter, http://www.kripfganz.de

Vasilis Sarafidis, Brunel University London, https://sites.google.com/view/vsarafidis

References

Hansen, L. P. 1982.
Large sample properties of generalized method of moments estimators.
Econometrica 50: 1029-1054.