Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | wangpan110 <wangpan110@hotmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Difference-in-Hansen |
Date | Thu, 30 Jun 2011 17:06:42 -0700 (PDT) |
Dear All, I have 3 questions about the Difference-in-Hansen test. 1) I have estimated the system GMM by using the -twostep robust- option, is the value of Difference-in-Hansen exactely the same as Difference-in-Sargan's value? 2) I want to report the statistic and p-value of Difference-in-Sargan/Hansen, but i am not sure how to obtain it. 3) On the bottom 4 lines of results table, it displays as: Difference-in-Hansen tests of exogeneity of instrument subsets: Hansen test excluding group: chi2(14) = 16.92 Prob > chi2 = 0.261 Difference (null H = exogenous): chi2(5) = 5.76 Prob > chi2 = 0.330 Hansen test excluding group: chi2(4) = 1.33 Prob > chi2 = 0.857 Difference (null H = exogenous): chi2(15) = 21.35 Prob > chi2 = 0.126 I am not sure whether my following understaning is correct or not: i) the first line tests the IV relevance of GMM-type instruments in the level equation ii) the second line tests the IV exogeneity of GMM-type instruments in the level equation iiii) the third line tests the IV relevance of IV-type instruments in the level equation iv) the fourth line tests the IV exogeneity of IV-type instruments in the level equation Does the failure of rejection imply system GMM is better than difference GMM? Any help is greatly appreciated. Patrick -- View this message in context: http://statalist.1588530.n2.nabble.com/Difference-in-Hansen-tp6535674p6535674.html Sent from the Statalist mailing list archive at Nabble.com. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/