Re: st: How to get P Values for sargan and abond in ereturn

[Shan Ghimire <shanmire@gmail.com>]

Daniel,
That's a big help. Thank you so much. I have another tail question,
however. I get the value of psargan to be 0.99964. Now, if I use
esttab <model>, sca(psargan), the value for psargan is rounded to
1.000 in the table. I would instead like to report 0.999 without
rounding it up. Could you help me with that please?
Thank you.
Shan

On Sun, Sep 2, 2012 at 6:49 AM, daniel klein
<klein.daniel.81@googlemail.com> wrote:
> Shan,
>
> Buis (2007) shows how to do this. You already have the test statistic
> for -sargan- stored in e(). All you need is the degrees of freedom,
> which I guess should be e(zrank) - e(rank) -- I  could be wrong here.
> You can then calculate the p-value as
>
> sca psargan = chi2tail(e(zrank) - e(rank), e(sargan))
>
> Next you put the scalar into e(), using -estadd-, part of -estout- (Jann, SSC)
>
> estadd sca psargan = psargan
>
> You then add scalar e(psargan) to your estimation results, using
> -esttab-, also part of -estout- (Jann, SSC).
>
> esttab <whatever> ,sca(psargan)
>
> You migth want to use a temporary name for the scalar, or a -local- instead.
>
> Best
> Daniel
>
>
> Buis, Maarten, L. (2007). Stata tip 53: Where did my p-values go? The
> Stata Journal, 7(4), pp. 584–586.
> (http://www.stata-journal.com/sjpdf.html?articlenum=st0137)
>
> --
> I am running a panel data regression using xtdpdsys. After running the
> regression, I perform estat sargan and estat abond and I can see both
> the test statistic values and p-values for them in the log window.
> However, I would like to get the p-values from ereturn list for these
> tests so that I can put these p-values at the end of the regression
> table using esttab. The ereturn list gives me  only  the test
> statistics - e(sargan) and e(arm2) but not the p-values for them.
> Could anybody help me with that please?
>
> Thank you in advance. Shan
>
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