Re: [Gretl-users] DPANEL and Sargan/Hansen test

On Sun, 30 Jun 2013, Pindar wrote: > I'm still struggling with the dpanel methodology and the comparison of > results to e.g. Stata. > First, the Sargan test statistics reported by GRETL are equivalent to the > ones of Arellano and Bond (1991) Sargan tests. Yes; and in most cases they are identical with those produced by Ox/DPD. In gretl we use the formula given in the DPD manual to compute the Sargan test -- maybe this should be given in the User's Guide. > The assertion that the Sargan test of GRETL is the Hansen test in xtabond > seems not to be true for *xtabond2*. In some cases the assertion holds true, maybe not in others. > GRETL values are always closer to the Sargan tests of Roodman reported in > Roodman (2006). What is the Hansen test then? Ask Roodman, or another Stata guru. I don't know. It's not adequately documented in the xtabond2 PDF file. > In Baltagi (2005) I found a xtabond output. Here the results for GMM-Diff > one-step estimates are the same as of gretl and the Sargan test fits too > (note, here is only a Sargan test is reported in the output). > Strange in this comparison: In GRETL the two-step estimators are far away > from the one-step coefficients and completely different to the ones reported > in Baltagi (p. 157). This is a case where the "A" matrix is singular and so -- as explained in the Gretl User's Guide -- all bets are off. Gretl and Ox/DPD do the same thing (generalized inverse, Moore-Penrose). Stata apparently does something else, we don't know what. > Another questions is how to perform the > Difference-in-Sargan/Hansen tests in GRETL (as reported in > xtabond2)? At this point you'd have to code that yourself. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users