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.
The assertion that the Sargan test of GRETL is the Hansen test in
xtabond seems not to be true for xtabond2
GRETL values are always closer to the Sargan tests of Roodman
reported in Roodman (2006). What is the Hansen test then?
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). The data is available
It's the 5th dataset. on this page.
Another questions is how to perform the
Difference-in-Sargan/Hansen tests in GRETL (as reported in
# comparison to Roodman (2006) Stata output
# regressors and time-dummies count as instruments
list tdums = dt_3 dt_4 dt_5 dt_6 dt_7 dt_8
# Roodman (2006) p. 26ff.
dpanel 2 ; n w w(-1) k k(-1) k(-2) ys ys(-1) ys(-2) tdums
/* GRETL Sargan: 65.8181
Stata Sargan: 67.59
Stata Hansen: 31.38 */
# with endogenous refressors wages and capital
dpanel 2 ; n w w(-1) k k(-1) k(-2) ys ys(-1) ys(-2) tdums ; \
GMM(n,2,9) GMM(w,2,9) GMM(k,2,9) ys ys(-1) ys(-2) tdums
/* GRETL Sargan: 117.457
Stata Sargan: 120.62
Stata Hansen: 73.72 */
19.05.2013 18:19, Pindar: