Ana,
Quoting [email protected]:
> 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.
Too bad ... that was going to be my first suggestion.
Maybe this is indicative of some sort of dynamic misspecification. Perhaps
some flavour of time trend would be appropriate?
--Mark
>
> 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
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
>
> 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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>
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
________________________________________________________________
DISCLAIMER:
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
