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Re: st: Hansen's statistic with xtabond, robust?


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Hansen's statistic with xtabond, robust?
Date   Wed, 25 Aug 2004 14:58:58 +0100

Jean,

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

> 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?

I can't think of a good reason why not.  David Roodman's -xtabond2-, 
when it does the equivalent regression as -xtabond- with -robust-, 
does report a Hansen statistic.

BTW, when they report the results of a -twostep- estimation (which is 
also "robust"), -xtabond- follows Arellano-Bond and calls the overid 
stat a "Sargan test", whereas -xtabond2- uses what I think is the 
probably the more common convention and calls it a "Hansen test".

--Mark

> 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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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert

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