Antwort: st: re: Sargan test

[Johannes Geyer <JGeyer@diw.de>]

> <>
> Sargan test of overidentifying restrictions
>         H0: overidentifying restrictions are valid
> 
>         chi2(114)    =  120.7602
>         Prob > chi2  =    0.3145
> 
> 
> Sargan test of overidentifying restrictions
>         H0: overidentifying restrictions are valid
> 
>         chi2(117)    =  116.0779
>         Prob > chi2  =    0.5067
> 
> so, what could this tell you, and could we rely on these results.
> 
> It quite clearly indicates that you cannot reject the null, which is
> a good thing. The p-value would have to be less than 0.1 or 0.05 to 
> reject, so you are a long way from having any indicated problems 
> with the instruments. However, heed David Roodman's advice in 
> xtabond2 from SSC: the Sargan test is not very powerful when there 
> are many instruments. Not knowing how many observations you have, I 
> don't know whether 100+ instruments is a lot or a little.
> 
> Kit
> 

You can find some more details on this test in the pdf manual shipped 
with Stata 11. E.g. heteroskedasticity is also a problem. Note that you 
have to check the Ar2 test as well.

Two good introductory texts that came to my mind are 

http://ideas.repec.org/p/cgd/wpaper/103.html

and 

http://www.cemmap.ac.uk/wps/cwp0209.pdf

which cover the "Sargan test" or its robust version, the "Hansen test" 

johannes
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