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


From   John Bunge <jota.be@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Difference Sargan Test for Dynamic Panel Data in Stata 10
Date   Tue, 18 Sep 2007 20:48:04 +0200

Hi Nick,

thank you for your answer.

Two things:

1) The Difference Sargan Test is standard in connection with GMM system estimation, so given the fact that System GMM was recently implemented in Stata 10, I could hardly believe that this test was apparently left out. I thought that there might be another possibility to carry out the test, maybe by programming (I don't know).

2) Since I'm relatively new to Stata I do not know what you mean with 'to look at the code'. Consequently, I would highly appreciate if you can give me further information.

Regards,

John.


-----------------------------------------------------------------
Von: statalist@hsphsun2.harvard.edu
Gesendet: 18.09.07 20:18:46
An: 
Betreff: st: RE: Difference Sargan Test for Dynamic Panel Data in Stata 10


I don't have any information that you don't have, 
but it is my experience that StataCorp do not 
in general implement tests but then hide that 
fact. You could explore further by looking at 
the code, which I haven't done. 

Nick 
n.j.cox@durham.ac.uk 

John Bunge

> 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).

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