Statalist The Stata Listserver

[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: xtabond2 and its Hansen statistic

From   Daniel Lee <>
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

thanking in advance,


Do You Yahoo!?
Tired of spam?  Yahoo! Mail has the best spam protection around 
*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index