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:

cheers,
sven
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