John said
> I would like to know if the Difference Sargan Test applied by
> Blundell and Bond (Blundell, R. and S. Bond, 2000, GMM
> Estimation with Persistent Panel Data: An Application to
> Production Functions, Econometric Reviews 19 (3), pp.
> 321-340) is implemented in the xtdpdsys routine in Stata 10.
>
> Both Longitudinal/Panel-Data Reference Manual for Stata 10
> and the program's help files after entering xtdpd or xtdpdsys
> do not contain any information about this test which examines
> the null hypothesis that the lagged differences of the
> explanatory variables are uncorrelated with the residuals
> (which are the additional restrictions imposed in the System
> GMM Estimator with respect to the Difference GMM Esimator).
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I believe this test is available from David Roodman's -xtabond2-. -
findit xtabond2- to install. I can't say whether it appears in Stata
10's new suite of GMM commands, but -xtabond2- implements a number of
diff-in-Sargan (or diff-in-Hansen J) tests, along the lines of -ivreg2-.
Kit
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
*
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