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


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Hansen's statistic with xtabond, robust?
Date   Wed, 25 Aug 2004 17:56:14 -0400

Mark,

Thanks a lot. I'll have a closer look at xtabond2.

Jean Salvati
 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Mark Schaffer
> Sent: Wednesday, August 25, 2004 9:59 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Hansen's statistic with xtabond, robust?
> 
> 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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> 

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