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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
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
ii) the second line tests the IV exogeneity of GMM-type instruments in the
iiii) the third line tests the IV relevance of IV-type instruments in the
iv) the fourth line tests the IV exogeneity of IV-type instruments in the
Does the failure of rejection imply system GMM is better than difference
Any help is greatly appreciated.
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