Mark,
Thanks a lot. I'll have a closer look at xtabond2.
Jean Salvati
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Mark Schaffer
> Sent: Wednesday, August 25, 2004 9:59 AM
> To: [email protected]
> Subject: Re: st: Hansen's statistic with xtabond, robust?
>
> Jean,
>
> Subject: st: Hansen's statistic with xtabond, robust?
> Date sent: Tue, 24 Aug 2004 17:43:00 -0400
> From: "Salvati, Jean" <[email protected]>
> To: <[email protected]>
> Send reply to: [email protected]
>
> > Hi Everybody,
> >
> > I understand why xtabond doesn't report the Sargan
> statistic with the
> > robust option. But what about the Hansen statistic? Is it
> computed and
> > saved instead of the Sargan statistic when robust is used?
> If not, why
> > is that?
>
> I can't think of a good reason why not. David Roodman's
> -xtabond2-, when it does the equivalent regression as
> -xtabond- with -robust-, does report a Hansen statistic.
>
> BTW, when they report the results of a -twostep- estimation
> (which is also "robust"), -xtabond- follows Arellano-Bond and
> calls the overid stat a "Sargan test", whereas -xtabond2-
> uses what I think is the probably the more common convention
> and calls it a "Hansen test".
>
> --Mark
>
> > Isn't Hansen's statistic still valid (known to be chi2) in Arellano
> > and Bond's model with non-iid errors?
> > Thanks a lot.
> >
> > Jean Salvati
> >
> >
> >
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>
> Prof. Mark E. Schaffer
> Director
> Centre for Economic Reform and Transformation Department of
> Economics School of Management & Languages Heriot-Watt
> University, Edinburgh EH14 4AS UK
> 44-131-451-3494 direct
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>
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