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st: Difference-in-Hansen


From   wangpan110 <wangpan110@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Difference-in-Hansen
Date   Thu, 30 Jun 2011 17:06:42 -0700 (PDT)

Dear All, I have 3 questions about the Difference-in-Hansen test.

1) I have estimated the system GMM by using the -twostep robust- option, is
the value of Difference-in-Hansen exactely the same as
Difference-in-Sargan's value?

2) I want to report the statistic and p-value of
Difference-in-Sargan/Hansen, but i am not sure how to obtain it. 

3) On the bottom 4 lines of results table, it displays as:

 Difference-in-Hansen tests of exogeneity of instrument subsets:
  
Hansen test excluding group:     chi2(14)   =  16.92  Prob >	chi2	=	0.261
Difference (null H = exogenous): chi2(5)    =   5.76  Prob >	chi2	=	0.330
  
Hansen test excluding group:     chi2(4)    =   1.33  Prob >	chi2	=	0.857
Difference (null H = exogenous): chi2(15)   =  21.35  Prob >	chi2	=	0.126
  
I am not sure whether my following understaning is correct or not:
i) the first line tests the IV relevance of GMM-type instruments in the
level equation
ii) the second line tests the IV exogeneity of GMM-type instruments in the
level equation
iiii) the third line tests the IV relevance of IV-type instruments in the
level equation
iv) the fourth line tests the IV exogeneity of IV-type instruments in the
level equation

Does the failure of rejection imply system GMM is better than difference
GMM?

Any help is greatly appreciated.

Patrick




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