Cordula,
Quoting Cordula Stolberg <[email protected]>:
> Dear Statalisters,
>
> I am estimating a dynamic panel with -xtabond2- and suspect that one of
> the regressors might be endogenous. To test for the endogeneity of the
> regressor, I followed the procedure suggested by Mark Schaffer
> (http://www.stata.com/statalist/archive/2004-07/msg00101.html), i.e.
> I first estimated the regression treating the regressor as exogenous
> (which gives me the Sargan statistic S0) and then I estimated the
> regression again treating the regressor as endogenous (which gives me the
> other Sargan statistic S1).
>
> Everything looks ok in those regressions. The problem is that the C test
> would then be calculated as S0-S1. Here, I get a negative number (-0.01)
> and since the statistic is distributed as chi-square, I have a problem.
> Does anyone have a suggestion what to do about this?
When you do a difference-in-Sargan statistic "by hand" in this way, you
aren't guaranteed a positive test statistic. This is because the S0 and S1
aren't using the same covariance matrix of orthogonality conditions, much in
the same way that sometimes a standard Hausman statistic can be guaranteed
to be positive-definite by using a single estimate of the error variance.
This isn't a problem, though. The difference between S0 and S1 is small,
and the fact that in finite samples it might be so small as to be negative
doesn't negate the fact that it's still small. You can treat this as a
failure to reject the null, i.e., evidence that the regressor can be treated
as exogneous. (Assuming, as you said, that everything else is OK, e.g., S0
is itself small enough for the Sargan-Hansen test to be passed.)
Cheers,
Mark
>
> Thanks in advance,
> Cordula
> *
> * 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 +44-131-451-3294
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:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
