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st: Hansen's statistic with xtabond, robust?


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Hansen's statistic with xtabond, robust?
Date   Tue, 24 Aug 2004 17:43:00 -0400

Hi Everybody,

I understand why xtabond doesn't report the Sargan statistic with the
robust option. But what about the Hansen statistic? Is it computed and
saved instead of the Sargan statistic when robust is used? If not, why
is that? Isn't Hansen's statistic still valid (known to be chi2) in
Arellano and Bond's model with non-iid errors?

Thanks a lot.

Jean Salvati



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