Hi everybody,
I'm wondering whether it would be an idea to also obtain the Hansen
over-id test after the dpanel command (dynamic Arellano/Blundell-Bond
style GMM estimator). Currently gretl only shows the non-robust Sargan
test. This seems to be a little bit inconsistent considering that by
default robust standard errors are reported.
I am aware that for example Stata's built-in xtdpdsys command does _not_
report that result, either. (Other contributed Stata routines do.) Don't
know why the Stata people decided against it.
So two relatively concrete questions:
Is it possible with the content of the $model bundle after dpanel to
construct the Hansen test? I tend to think no, but maybe it is.
Secondly, is it actually possible to switch off the robust standard
errors in dpanel? Just out of curiosity and for comparison.
thanks
sven