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

Sure, there is some difference between Gretl and Stata's user-written ado. I think that the problem is how time-dummies are used as instruments or so. But my point is the following: you have 3 chi2(100) tests at hand, which are well-above 100, and therefore it rejects strongly the null. I don't see how you could have a p-value of 20%!! 2013/5/20 Pindar <pindar777(a)gmail.com&gt; > Am 20.05.2013 11:56, schrieb Sven Schreiber: >> Am 20.05.2013 11:52, schrieb Pindar: >> >>> Hola Rodrigo, >>> >>> The p-value for Hansen test is reported as " 0.218". >>> But with the output in the paper and gretl there are 3 different test >>> statistics for chi2(100): >>> >>> Sargan_xtabond2: 186.90 >>> Sargan_gretl: 154.81 >>> Hansen_xtabond2: 110.70 >>> >>> I would like to be sure how to interpret differences in the diagnostic >>> checks between gretl and stata. >>> >> Yes, a useful question I think. But are the coeff estimates always the >> same, are you absolutely sure you are comparing identical >> specificiations? In panel settings and GMM settings there can be subtle >> differences. > > Thanks Sven for pointing me to the 'always': The coefficients for the const and the time dummies differ! > > Trying to change the setting for the time dummies leads to 'completely different' coefficients while > it does not alter the Sargan test statistic. I obviously failed in replicating the time dummy instruments: > > <hansl> > open abdata.gdt > genr time > genr timedum > list TD_roodman = dt_2 dt_3 dt_4 dt_5 dt_6 dt_7 dt_8 > > dpanel 1; n const w w(-1) k k(-1) TD_roodman ; \ > GMM(n,2,8) GMM(w,2,8) GMM(k,2,8) \ > GMMlevel(w,1,1) GMMlevel(k,1,1) TD_roodman --sys > > # This estimation gives a 'Sargan test' > # Sargan over-identification test: Chi-square(100) = 154.367 [0.0004] > <hansl> > > Best > Leon > > Here the Roodman stata output of coefficients: > <djfegaef.png> > > >> cheers, >> sven >> _______________________________________________ >> Gretl-users mailing list >> Gretl-users(a)lists.wfu.edu >> http://lists.wfu.edu/mailman/listinfo/gretl-users > > > > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users