st: re: Sargan test

[Christopher Baum <kit.baum@bc.edu>]

<>
Sargan test of overidentifying restrictions
        H0: overidentifying restrictions are valid

        chi2(114)    =  120.7602
        Prob > chi2  =    0.3145


Sargan test of overidentifying restrictions
        H0: overidentifying restrictions are valid

        chi2(117)    =  116.0779
        Prob > chi2  =    0.5067

so, what could this tell you, and could we rely on these results.

It quite clearly indicates that you cannot reject the null, which is a good thing. The p-value would have to be less than 0.1 or 0.05 to reject, so you are a long way from having any indicated problems with the instruments. However, heed David Roodman's advice in xtabond2 from SSC: the Sargan test is not very powerful when there are many instruments. Not knowing how many observations you have, I don't know whether 100+ instruments is a lot or a little.

Kit



Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/