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st: Testing the validity of instruments when estimating a GMM model with Windmeijer corrected standard errors


From   Natalie Trapp <natalie.trapp@zmaw.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Testing the validity of instruments when estimating a GMM model with Windmeijer corrected standard errors
Date   Mon, 12 Mar 2012 19:14:28 +0100

Hi,

I estimate a GMM model with Windmeijer corrected robust standard errors as follows

xtdpd y l3.y_rain x1 x2 x3 x4 x5, dgmmiv(l3.y_rain, lag(2 3)) dgmmiv(x1 x2 x3, lag(2) ) lgmmiv(x1 x2 x3,lag(2)) div(x4 x5 ) twostep hascons vce(robust)

When using the vce(vcetype) option, the sargan statistic cannot be obtained because the distribution of the Sargan test is unknown when the disturbances are heteroscedastic. However, I need to test the validity of over-identifying restrictions and was thinking whether one can use the same model without a Windmeijer correction (without vce(robust)) to test for the validity of over-identifying restrictions and then infer on the robust model?

Thank you,
Natalie

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