[Gretl-users] Re: dpanel and Hansen test?
On Thu, 28 Jan 2021, Sven Schreiber wrote:
OK, to give future mailing list readers some more info here:
Actually
there is the section 24.5 in the gretl user guide that says something
about the Sargan-vs.-Hansen issue. Funny that nobody remembered that
part of the documentation ;-) There it is already mentioned that in the
literature there is no clearcut distinction between the labels "Sargan"
and "Hansen". BTW, Stata's own xtdpdsys also talks about Sargan only.
Currently my understanding is that some people call a Hansen over-id
test what in gretl (and elsewhere) is the Sargan over-id test after the
2-step GMM estimation.
Yes. The xtabond2 "Hansen test" is identical to the gretl "Sargan
test" after two-step estimation. As Roodman says (p. 98 of his "How
to do xtabond2"), "When the user requests the Sargan test for
'robust' one-step GMM [xtabond2 quietly performs] the second GMM
step to obtain and report a consistent Hansen statistic."
> Another question about the dpanel GUI:
>
> It seems that when running using the dpanel dialog window, the variant
> is automatically switched to dpdstyle (judging from the remark in the
> printout), even though the option cannot be set. Is this intended? I
> thought it's just an alternative that has to be switched on explicitly
> (via --dpdstyle, scripting only).
Intended or not, indeed running dpanel from the GUI always adds the
--dpdstyle option, as can be seen by inspecting the command log. If you
want to switch that off, currently you have to write the dpanel command
line in a script (or the console). But of course dpdstyle doesn't do any
harm.
That's now fixed in git. The GUI behaves in the same way as the
command: "dpdstyle" is a selectable option rather than the default.
Allin