Hi Mark
Thanks for the quick reply.
On my question 2)
Sorry I was unclear. When I say "augmenting the order of the lags", I mean
starting the lags further back, i.e., the minimum lag length goes up.
Ana
_______________________________________________________________
Mark Schaffer
<[email protected]> To: [email protected], [email protected]
Sent by: cc:
owner-statalist@hsphsun2. Subject: Re: st: 2 xtabond2 questions
harvard.edu
12/08/2004 04:57 PM
Please respond to
statalist
Ana,
Quoting [email protected]:
> Hello
>
> I have 2 questions on xtabond2:
> 1) can the Hansen test of overidentification restrictions shown as output
> from xtabond2 be also referred to as a Sargan test or is it a different
> test?
Sargan invented the test in the late 50s, before robust covariance
estimators were around. Hansen extended it in 82 using the latter. Some
people call the test statistic a Hansen J stat, others a Sargan stat, others
a Sargan-Hansen stat or a Hansen-Sargan stat. If you don't want to keep
switching between Sargan for non-robust and Hansen for robust, just use one
of the latter two.
> 2) I am estimating a model that repeateadly shows me evidence of 2nd order
> serial correlation in the residuals which invalidates the whole Blundell
> Bond estimation strategy. I have done many trials augmenting the order of
> the lags used as IV but still get the same problem. Any suggestions?
When you say "augmenting the order of the lags", do you mean extending them
further backwards in time, i.e., the maximum lag length goes up? Or do you
mean that you start the lags further back, i.e., the minimum lag length goes up?
--Mark
> Thanks
> Ana
>
>
> *
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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