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Re: st: xtabond and Newey West D statistic

From   Mark Schaffer <>
To, Ed Levitas <>
Subject   Re: st: xtabond and Newey West D statistic
Date   Tue, 08 Feb 2005 19:48:34 +0000 (GMT)


If I'm not mistaken, the D statistic is what Hayashi calls a C statistic and
others call a "difference-in-Sargan" statistic.  If so, how to implement
this with xtabond (or even better, xtabond2) has been discussed on the list.
 Have a look at

and the associated thread.


Quoting Ed Levitas <>:

> Hello Statalisters,
> I am using XTABOND2 and am interested in assessing the addition of a
> single
> variable (i.e., comparing restricted and unrestricted models).  For
> estimators (e.g. Arellano-Bond), New and West (1987) develop a D
> statistic
> (normalized different between restricted and unrestricted
> objective
> functions) that (I believe) is appropriate for my case.   I however
> do not
> know how to calculate this in STATA.  Does anyone have any
> suggestions?
> Thanks in advance,
> Ed
> ****************************************
> Edward Levitas, PhD
> Associate Professor
> School of Business Administration
> University of Wisconsin-Milwaukee
> 3202 N. Maryland Ave.
> Milwaukee, WI  53211
> ph: (414) 229-6825
> fx: (414) 229-6957
> *
> *   For searches and help try:
> *
> *
> *

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294


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