Re: st: Testing the validity of instruments when estimating a GMM model with

[Natalie Trapp <natalie.trapp@zmaw.de>]

Am 12/03/2012 21:54, schrieb Christopher Baum:
> <>
> I estimate a GMM model with Windmeijer corrected robust standard errors
> as follows
>
> xtdpd y l3.y_rain x1 x2 x3 x4 x5, dgmmiv(l3.y_rain, lag(2 3))  dgmmiv(x1
> x2 x3, lag(2) ) lgmmiv(x1 x2 x3,lag(2)) div(x4 x5 ) twostep hascons
> vce(robust)
>
> When using the vce(vcetype) option, the sargan statistic cannot be
> obtained because the distribution of the Sargan test is unknown when the
> disturbances are heteroscedastic. However, I need to test the validity
> of over-identifying restrictions and was thinking whether one can use
> the same model without a Windmeijer correction (without vce(robust)) to
> test for the validity of over-identifying restrictions and then infer on
> the robust model?
>
>
> The Sargan test assumes iid errors. The xtdpd command refuses to compute same with a robust VCE.
> But there is always a Hansen J statistic available, and it is robust to non-iid errors. I suggest you use
> David Roodman's xtabond2 (available from SSC) for these models; it will produce both a Sargan
> and a Hansen J test, and warn you about their various shortcomings. It will also allow you to estimate all
> DPD models with a single command, rather than Stata's three official commands, and provides several
> features missing from Stata's commands.
>
> Kit
>
>
> Kit Baum   |   Boston College Economics&  DIW Berlin   |http://ideas.repec.org/e/pba1.html
>                               An Introduction to Stata Programming  |http://www.stata-press.com/books/isp.html
>    An Introduction to Modern Econometrics Using Stata  |http://www.stata-press.com/books/imeus.html
>
>
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Dear Kit,

thank you very much for your quick response.

I would like to use xtdpd because it also allows for predetermined 
variables. However, if there is no test for xtdpd, I should use xtabond2 
and the Hansen J.

Kind regards,
Natalie

*
*   For searches and help try:
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/