León, 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.

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 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

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

On Sun, 30 Jun 2013, Pindar wrote: > 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. Yes; and in most cases they are identical with those produced by Ox/DPD. In gretl we use the formula given in the DPD manual to compute the Sargan test -- maybe this should be given in the User's Guide. > The assertion that the Sargan test of GRETL is the Hansen test in xtabond > seems not to be true for *xtabond2*. In some cases the assertion holds true, maybe not in others. > GRETL values are always closer to the Sargan tests of Roodman reported in > Roodman (2006). What is the Hansen test then? Ask Roodman, or another Stata guru. I don't know. It's not adequately documented in the xtabond2 PDF file. > 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). This is a case where the "A" matrix is singular and so -- as explained in the Gretl User's Guide -- all bets are off. Gretl and Ox/DPD do the same thing (generalized inverse, Moore-Penrose). Stata apparently does something else, we don't know what. > Another questions is how to perform the > Difference-in-Sargan/Hansen tests in GRETL (as reported in > xtabond2)? At this point you'd have to code that yourself. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users