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st: xtabond2 + C test

From   "Cordula Stolberg" <[email protected]>
To   [email protected]
Subject   st: xtabond2 + C test
Date   Tue, 11 Jan 2005 17:42:20 +0100 (MET)

Dear Statalisters,

I am estimating a dynamic panel with -xtabond2- and suspect that one of the
regressors might be endogenous. To test for the endogeneity of the
regressor, I followed the procedure suggested by Mark Schaffer
(, i.e. I first
estimated the regression treating the regressor as exogenous (which gives me
the Sargan statistic S0) and then I estimated the regression again treating
the regressor as endogenous (which gives me the other Sargan statistic S1).

Everything looks ok in those regressions. The problem is that the C test
would then be calculated as S0-S1. Here, I get a negative number (-0.01) and
since the statistic is distributed as chi-square, I have a problem. Does
anyone have a suggestion what to do about this?

Thanks in advance,
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