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st: xtabond2 and its Hansen statistic


From   Daniel Lee <chanlee70@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 and its Hansen statistic
Date   Mon, 15 May 2006 11:04:13 -0700 (PDT)

Hi, there.

Iím trying to estimate a dynamic panel model with
xtabond2. My question is that whatever variable or the
length of lags I specify in gmm( ) option, the p value
of the Hansen statistic is persistently equal to 1.
This seems too good to be true. I even tried gmm(a
year dummy, lag(0 0)) and it still doesnít make any
change in the p-value. Does this mean all the
explanatory variables in the equation are already
orthogonal to the errors so that they donít need to be
instrumented? 

thanking in advance,

Daniel

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