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st: re: difference Sargan test


From   Kit Baum <kitbaum@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: difference Sargan test
Date   Tue, 18 Sep 2007 15:38:50 -0400

John said

 > 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).

*
I believe this test is available from David Roodman's -xtabond2-. - 
findit xtabond2- to install. I can't say whether it appears in Stata  
10's new suite of GMM commands, but -xtabond2- implements a number of  
diff-in-Sargan (or diff-in-Hansen J) tests, along the lines of -ivreg2-.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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