Hi,
I'm still trying to get a feeling for the dpanel gmm
estimators.
When estimating this xtabond2 statement from Roodman
(2006/2008) for abdata.gdt
"xtabond2 n L.n L(0/1).(w k) yr*, gmmstyle(L.(n w k))
ivstyle(yr*, equation(level)) robust small"
by
<hansl>
open abdata.gdt
dpanel 1; n const w w(-1) k k(-1) ; \
GMM(n,2,8) GMM(w,2,8) GMM(k,2,8) \
GMMlevel(w,1,1) GMMlevel(k,1,1) --time --sys
<hansl>
I came across a question concerning the Sargan/Hansen test
of overid. restrictions.
In the gretl-guide on p.152 it is stated that "Specifically,
xtabond2 computes both a “Sargan
test” and a “Hansen test” for overidentification, but what
it calls the Hansen test is what DPD and
gretl call the Sargan test."
The Hansen test in this example does not reject the validity
of the instruments while the Sargan does.
"Sargan test of overid. restrictions: chi2(100) = 186.90
Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(100) = 110.70 Prob
> chi2 = 0.218
(Robust, but can be weakened by many instruments.)"
In gretl output however the result of the Sargan test is and
not the Hansen test :
"Sargan over-identification test: Chi-square(100) = 154.808
[0.0004]"
That's was quite a surprise for me.
Perhaps it's because the test statistic is not the same and
it's really the Hansen test (cos I believe in what u
documented :-)), but why then such drastic differences?
Cheers
Leon