Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: The Sargan test in -xtabond(2)-


From   "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: The Sargan test in -xtabond(2)-
Date   Wed, 4 Aug 2004 11:11:57 +0100 (BST)

Kostas Drakos wrote:

> I am estimating a dynamic panel using the GMM Arellano-Bond routine.
> It's proved impossible so far to find an instrument set that will
> satisfy the Sargan test. How crucial is the significance of the Sargan
> test?

First of all, use a germane subject heading!

Second of all, you didn't say whether you're using -xtabond- or
-xtabond2-. I know this is a bit naughty to say, but if one doesn't give
you the 'right' Sargan test statistic, why not try the other? (It is, of
course, Hansen's J in -xtabond2-.)

I've had this trouble myself recently, but managed to be creative with the
instruments I used to satisfy the J test. From what I've learned off
others, this test is pretty crucial as it provides a strong indication
that the instruments you're using are invalid.

CLIVE NICHOLAS        |t: 0(044)191 222 5969
Politics              |e: clive.nicholas@ncl.ac.uk
Newcastle University  |http://www.ncl.ac.uk/geps
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index