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Re: RE: st: Arellano-Bond test for AR(2) in first differences after xtivreg2


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: RE: st: Arellano-Bond test for AR(2) in first differences after xtivreg2
Date   Sun, 29 Jan 2012 08:39:18 -0500

<>
On Jan 29, 2012, at 2:33 AM, Humaira wrote:

> xtabond2 y x1 x2 time, iv(L.x1 x2 time) r orthogonal with and without twostep option, but the Sargan and Hansen test get zero as shown below. 
> 
> 
> 
> 
> 
> Sargan test of overid. restrictions: chi2(0)    =   0.00  Prob > chi2 =      .
>  (Not robust, but not weakened by many instruments.)
> Hansen test of overid. restrictions: chi2(0)    =   0.00  Prob > chi2 =      .
>  (Robust, but can be weakened by many instruments.)


This is an exactly identified model. With zero overidentifying restrictions (see the df for the Chi-squared), the Hansen's J stat must be zero. 
You can only perform a test of overidentfiying restrictions if you have some. 

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


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