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st: Overidentifying restrictions tests and fixed effect constant in xtabond2


From   Vivian Chen <viviancwj@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Overidentifying restrictions tests and fixed effect constant in xtabond2
Date   Thu, 30 Jun 2011 22:57:51 -0400

Dear List,

I am using xtabond2 command to estimate a dynamic panel model and have
two questions.

1. What's the null hypothesis for the over identifying restrictions
tests and do we want to have the results that reject or do not reject
the  null? According to Roodman (2006), "...if the model is exactly
identified, detection of invalid instruments is impossible..... but if
the model is overidentified, a test statistic for the joint validity
of the moment conditions falls naturally out of the GMM framework."
Specifically, I ran an xtbond regression and got the following
results:


Sargan test of overid. restrictions: chi2(7)  = 23.92  Prob > chi2 =  0.001
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(7)  =  14.68  Prob > chi2 =  0.040
(Robust, but can be weakened by many instruments.)


2. Using xtabond2, I specify a one-step difference GMM model. I wonder
whether there is any group fixed effect constant, similar to the
residual u(i) in xtreg, in xtabond2. If so, how can I retrieve it? If
not, is there a way that I can calculate it?

Thank you,

Vivian

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