Jean,
Subject: st: Hansen's statistic with xtabond, robust?
Date sent: Tue, 24 Aug 2004 17:43:00 -0400
From: "Salvati, Jean" <[email protected]>
To: <[email protected]>
Send reply to: [email protected]
> Hi Everybody,
>
> I understand why xtabond doesn't report the Sargan statistic with the
> robust option. But what about the Hansen statistic? Is it computed and
> saved instead of the Sargan statistic when robust is used? If not, why
> is that?
I can't think of a good reason why not. David Roodman's -xtabond2-,
when it does the equivalent regression as -xtabond- with -robust-,
does report a Hansen statistic.
BTW, when they report the results of a -twostep- estimation (which is
also "robust"), -xtabond- follows Arellano-Bond and calls the overid
stat a "Sargan test", whereas -xtabond2- uses what I think is the
probably the more common convention and calls it a "Hansen test".
--Mark
> Isn't Hansen's statistic still valid (known to be chi2) in
> Arellano and Bond's model with non-iid errors?
> Thanks a lot.
>
> Jean Salvati
>
>
>
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Prof. Mark E. Schaffer
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Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
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