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st: xtabond twostep


From   "Peter Haan" <phaan@diw.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond twostep
Date   Wed, 20 Nov 2002 11:24:46 +0100

Hi ,
I have a question concerning the Sargan test of over-identifying restrictions after using xtabond. If I use the recommended one step specification I have to reject H0 of the sargan test with p-value 0, however if I use the two step option my p- value for the same test turns out to equal 1 suggesting not to reject.
My panel size is not overwhelmingly large, 33 observations times 141 groups.
Which result should I rely on?
Thanks for your advise
peter

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