Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st:Bundell and Blond: Sargan Test
From
Michelena, Gabriel Nicol s <[email protected]>
To
<[email protected]>
Subject
st:Bundell and Blond: Sargan Test
Date
Wed, 5 Jan 2011 12:40:57 -0300
Dear Stata List,
I have a panel data model of international trade, and im regressing the
quantity of imports, for a set of products, using as regressors numbers of
importers, number of exportes, trend, etc.
I´ve estimated the model using POLS, Fixed Effects and GMM (Arellano Bond
and Bundell Blond). The problem that I found is that ar(1) and ar(2) test
perform well, but I reject always the Sargan Test.
What did you recommend? Forget GMM and use Fixed Effects?
---
Lic. Gabriel Michelena
Centro de Economía Internacional. Ministerio de Relaciones Exteriores,
Comercio Internacional y Culto Esmeralda 1212 - 2° Piso - Oficina 201 Ciudad
Autónoma de Buenos Aires
(C1007ABR) Argentina
Tel: (+5411) 4819-7000. Interno 7485
Fax: (+5411) 4819-7484
URL: http://www.cei.gob.ar/
E-mail: [email protected]
-----Mensaje original-----
De: [email protected]
[mailto:[email protected]] En nombre de Ye, Jingjing
Enviado el: Wednesday, January 05, 2011 11:36 AM
Para: [email protected]
Asunto: st: weak-instrument-robust tests in ivreg2
Dear statalist,
I have a cross-sectional data, and three endogenous variables (one of them
is an interaction term of the other two: exogamy, emp_ratio, interation),
three instruments(also generate interaction using the three exclusion
restriction. I want to do weak-instrument-robust, however, I got
inconsistent results from Anderson-Rubin wald/F statistic and Stock-Wright
LM test.