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


From   "Ruiqing Miao" <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: RE: Is Hansen test in XTABOND2 really robust?
Date   Fri, 1 Nov 2013 10:54:36 -0500

Hi, Eric, thank you very much for your help. I think your quote from "How to do xtabond2" explains why the Hansen test in -xtabond2- is the same as the Sargan test in twostep -xtabond-. But when I include both "twostep" and "vce(robust)", the Stata will reports "cannot calculate Sargan test with vce(robust)". Does this mean that the Sargan test from the twostep -xtabond- is not robust? Moreover, could you please give me some hints on why  " performing the Sargan test after the two-step estimator is an alternative" that is stated in Stata manual (the manual for �dpdsys postestimation �ostestimation tools for xtdpdsys�page 107 in Stata 11)?

Bests,
Ruiqing

-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of DE SOUZA Eric
Sent: Friday, November 01, 2013 10:24 AM
To: '[email protected]'
Subject: st: RE: RE: Is Hansen test in XTABOND2 really robust?



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