Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Hansen's statistic with xtabond, robust?

From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: Hansen's statistic with xtabond, robust?
Date   Wed, 25 Aug 2004 14:58:58 +0100


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".


> 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
> *
> *   For searches and help try:
> *
> *
> *

Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index