Thanks Mark, Sargan test is what I need I`m going to use it. Ines
> I posted this to the list yesterday but it didn't make it through,
> probably because I forgot to turn html off (*!�$% Outlook!). Here it is
> again.
>
> --Mark
>
> ________________________________
>
> From: Schaffer, Mark E
> Sent: 20 February 2006 20:08
> To: [email protected]
> Subject: RE: xtabond2 Hansen J statistic
>
>
> Ines,
>
> This is probably just a terminological issue. Some authors use "Sargan
> statistic", some "Hansen J statistic", some "Sargan-Hansen", etc., even
> when they mean the same thing. If there is a convention, it is that
> "Sargan" applies to the homoskedastic case and "Hansen" to the
> heteroskedastic or "sandwich covariance" case, but this is far from
> universally followed. In any case, you just need to check the xtabond2
> help file and the xtabond manual entry and see whether what xtabond2
> calls a "Sargan statistic" is the statistic you want. My guess is that
> it is.
>
> Cheers,
> Mark
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3296
> email: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
> ________________________________
>
> From: [email protected] on behalf of
> [email protected] Sent: Mon 20-Feb-06 7:26 PM
> To: [email protected]
> Subject: st: xtabond2 Hansen J statistic
>
>
>
> I want stata to calculate the Hansen J statistic instead of the sargan
> test when i use xtabond2 command but i don`t know how to do it Anyone
> could help me?
>
> Thanks,
>
> ines
>
>
>
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>
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>
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