Re: st: RE: Is Hansen test in XTABOND2 really robust?

[Nick Cox <njcoxstata@gmail.com>]

Full references please. Although this request should be evident, it is
quite explicit in the FAQ.

The Statalist FAQ also commends a convention introduced by W.W. Gould
whereby command names or other Stata syntax are quietly but
discernibly flagged using the pattern -cmdname-, thus -xtabond-, and
so forth.

Using all capitals for emphasis has two clear disadvantages:

1. It is quite alien to Stata's syntax and style.

2. Many readers report a synaesthetic sensation that the writer is
SHOUTING, which is unwelcome.

Nick
njcoxstata@gmail.com


On 1 November 2013 13:42, Ruiqing Miao <ruiqingmiao@gmail.com> wrote:

> I am working on a project that involves dynamic panel data analysis. Since
> the manual of XTABOND states that the Sargan test is not valid in the
> presence of heteroskedasticity, I switch to XTABOND2 that presents Hansen
> test that is claimed to be robust. But I realized that for the same model,
> the statistic value of XTABOND’s two-step Sargan test is exactly equal to
> the value of XTABOND2’s Hansen test; and the value of XTABOND’s one-step
> Sargan test is very close to the value of XTABOND2’s Sargan test.
>
> In the manual of another software (page 168, the last paragraph,
> http://gretl.sourceforge.net/gretl-help/gretl-guide.pdf), it reads,
> “Specifically, xtabond2 computes both a “Sargan test” and a “Hansen test”
> for overidentification, but what it calls the Hansen test is, apparently,
> what DPD calls the Sargan test. (We have had difficulty determining from the
> xtabond2 documentation (Roodman, 2006) exactly how its Sargan test is
> computed.)” This may provide a support to my finding above.
>
> So, I guess either the Stata manual about XTABOND or Mr Roodman’s XTABOND2
> has something unclear on this issue? If the Stata manual is correct (i.e.,
> Sangan test is not robust), then is Hansen test, which is equal to Hansen
> test in two-step XTABOND, really robust?
>
> On the manual for “xtdpdsys postestimation — Postestimation tools for
> xtdpdsys”, page 107 in Stata 11, it reads,  “Although performing the Sargan
> test after the two-step estimator is an alternative, Arellano and Bond
> (1991) found a tendency for this test to underreject in the presence of
> heteroskedasticity.” What does this sentence mean? Why is it “an
> alternative”? Is the Sargan test after the two-step estimator robust?
>

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