Am 19.05.2013 23:29, schrieb Rodrigo
Alfaro Arancibia:

León,Hola Rodrigo,

For me, such as big valué in the chi2 reject the null, whatever which one. You should write Roodman in order to assess p-valúes.

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.

Leon

R

El domingo, 19 de mayo de 2013, Pindar escribió:

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

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