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st: Re: Sargan test stat and pval


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: Sargan test stat and pval
Date   Wed, 1 Feb 2006 10:07:23 -0500

Ben is quite correct, but for those who do not relish diving into the lengthy code, please note that -help ivreg2- (like all well- documented Stata routines) lists all of the dozens of return values that are available: e.g.

...
e(sargan) Sargan statistic
e(sarganp) p-value of Sargan statistic
e(sargandf) dof of Sargan statistic = degree of overidentification = L-K
...

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Feb 1, 2006, at 2:33 AM, statalist-digest wrote:


Priya wrote:
I am using the command estout [estout *, cells(b(star fmt(%9.3f))
p(par))
style (fixed) stats(r2 sargan)]
 to tabulate my regression results from ivreg2. From the above
command,
the Sargan Statistic appears in the table. Any clue how to tabulate
the
Sargan P-value  as well?
. viewource ivreg2.ado

reveals the Sargan P-value will be returned in e(sarganp) as long as the
Sargan statistic is not 0 and not missing. Thus, just type

estout *, ... stats(r2 sargan sarganp)
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