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st: re: difference Sargan test for GMM


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: difference Sargan test for GMM
Date   Sun, 1 Jul 2007 17:18:42 -0400

You may calculate the diff-Sargan test in the context of an instrumental variables model using ivreg2 (ssc install ivreg2). It is fully described in Baum, Schaffer and Stillman, BC WP 545, available from my IDEAS homepage at http://ideas.repec.org/e/pba1.html

Kit Baum


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