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st: the Sargan test


From   "Rateb Abu-Sharia" <r.abusharia@uws.edu.au>
To   statalist@hsphsun2.harvard.edu
Subject   st: the Sargan test
Date   Thu, 14 Apr 2005 15:20:42 +1000 (EST)

Dear Sir/Madam:

In reference to GMM methods in STATA8 (Arellano and Bond model,
xtabond), I am trying to introduce instrumental variables to fix the
endogeneity problem caused by fixed and random effects regressions.

I have a question concerning the Sargan test of over-identifying
restrictions after using the recommended two-step specification, I find
the Sargan test for all cases in my study with p-value equal 1
suggesting not to reject the over-identifying restrictions, as follows:

Sargan test of over-identifying restrictions:
         chi2 (90) = 0.00      Prob > chi2 = 1.0000

However, Does it “P-value equal one” means that I am working on the
right practice of the “Sargan test” or is there any problem with this P-
value? If any, could you give me please your advice to which value
should I rely on? I look forward to your response.

Your cooperation would be much appreciated.



Many thanks

Rateb Abu-Sharia
School of Economics & Finance
University of Western Sydney
Phone: +61 2 9890 3245
Mob. +61 405 114 031

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