I don't have any information that you don't have,
but it is my experience that StataCorp do not
in general implement tests but then hide that
fact. You could explore further by looking at
the code, which I haven't done.
Nick
[email protected]
John Bunge
> I would like to know if the Difference Sargan Test applied by
> Blundell and Bond (Blundell, R. and S. Bond, 2000, GMM
> Estimation with Persistent Panel Data: An Application to
> Production Functions, Econometric Reviews 19 (3), pp.
> 321-340) is implemented in the xtdpdsys routine in Stata 10.
>
> Both Longitudinal/Panel-Data Reference Manual for Stata 10
> and the program's help files after entering xtdpd or xtdpdsys
> do not contain any information about this test which examines
> the null hypothesis that the lagged differences of the
> explanatory variables are uncorrelated with the residuals
> (which are the additional restrictions imposed in the System
> GMM Estimator with respect to the Difference GMM Esimator).
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