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st: xtabond2 Sargan and Hansen test


From   "Flora Hofmann" <flo.hofmann@gmx.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond2 Sargan and Hansen test
Date   Sat, 17 Apr 2010 11:38:14 +0200

Dear Statlists, 

I am confused about the Sargan and Hansen tests reported after xtabond2 in the case of onestep, robust system GMM estimation. In the case of non-spericity in the errors the Sargan test is inconsistent and the Hansen test based on the twostep estimates is prefered. 

If I understood correctly, considering this xtabond2 reports the hansen statistic based on the twostep estimates in this case. Is that to say that the test statistic reported under 'Sargan test of overid. restrictions' is the hansen test from the twostep estimates? And if that is the case what is reported under 'Hansen test of overid. restriction'?

I am sorry if I am bothering you with an 'obvious' question.

Best 
Flo Hofmann




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