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st: Difference Sargan Test for Dynamic Panel Data in Stata 10


From   John Bunge <jota.be@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Difference Sargan Test for Dynamic Panel Data in Stata 10
Date   Tue, 18 Sep 2007 16:44:13 +0200

Dear Users,

I would like to know if the Difference Sargan Test applied by Blundell and Bond (Blundell, R. and S. Bond, 2000, GMM Estimation with Persistent Panel Data: An Application to Production Functions, Econometric Reviews 19 (3), pp. 321-340) is implemented in the xtdpdsys routine in Stata 10.

Both Longitudinal/Panel-Data Reference Manual for Stata 10 and the program's help files after entering xtdpd or xtdpdsys do not contain any information about this test which examines the null hypothesis that the lagged differences of the explanatory variables are uncorrelated with the residuals (which are the additional restrictions imposed in the System GMM Estimator with respect to the Difference GMM Esimator).

Thanks in advance,

John Bunge.
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