* produce Greene example 5.3 just to illustrate that we can match his numbers

use http://fmwww.bc.edu/ec-p/data/Greene2003/TableF5-1,clear

* Note: standard Hausman test of IV vs OLS fails in this case, as it can 
* small samples. Use ivreg2 (Durbin-Wu-Hausman) or Wu test instead:

ivreg2 realcons realgdp (=L.realgdp L.realcons) , orthog(realgdp)

reg realgdp L.realgdp L.realcons
predict gdphat,xb
reg realcons realgdp gdphat

* Greene question 5-7

* This one can be done with the Hausman test approach:

ivreg realcons  tbilrate  L.realcons (realgdp=L.realgdp) 
est store iv
reg realcons  tbilrate  L.realcons realgdp
hausman iv .

* in this case the ordinary Sargan statistic (rather than the difference-in-Sargan)
* is appropriate, since the equation is exactly identified under the null
ivreg2 realcons realgdp tbilrate  L.realcons (=L.realgdp) 

reg realgdp L.realgdp L.realcons tbilrate
predict gdphat2, xb
reg realcons realgdp L.realcons tbilrate gdphat2