I posted this to the list yesterday but it didn't make it through, probably because I forgot to turn html off (*!�$% Outlook!). Here it is again.
--Mark
________________________________
From: Schaffer, Mark E
Sent: 20 February 2006 20:08
To: [email protected]
Subject: RE: xtabond2 Hansen J statistic
Ines,
This is probably just a terminological issue. Some authors use "Sargan statistic", some "Hansen J statistic", some "Sargan-Hansen", etc., even when they mean the same thing. If there is a convention, it is that "Sargan" applies to the homoskedastic case and "Hansen" to the heteroskedastic or "sandwich covariance" case, but this is far from universally followed. In any case, you just need to check the xtabond2 help file and the xtabond manual entry and see whether what xtabond2 calls a "Sargan statistic" is the statistic you want. My guess is that it is.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
________________________________
From: [email protected] on behalf of [email protected]
Sent: Mon 20-Feb-06 7:26 PM
To: [email protected]
Subject: st: xtabond2 Hansen J statistic
I want stata to calculate the Hansen J statistic instead of the sargan
test when i use xtabond2 command but i don`t know how to do it Anyone
could help me?
Thanks,
ines
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* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
