Tuesday, February 21, 2006

st: xtabond2 Hansen J statistic

I posted this to the list yesterday but it didn't make it through, probably because I forgot to turn html off (*!£$% Outlook!). Here it is again.

--Mark

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From: Schaffer, Mark E Sent: 20 February 2006 20:08 To: statalist@hsphsun2.harvard.edu Subject: RE: xtabond2 Hansen J statistic

Ines, This is probably just a terminological issue. Some authors use "Sargan statistic", some "Hansen J statistic", some "Sargan-Hansen", etc., even when they mean the same thing. If there is a convention, it is that "Sargan" applies to the homoskedastic case and "Hansen" to the heteroskedastic or "sandwich covariance" case, but this is far from universally followed. In any case, you just need to check the xtabond2 help file and the xtabond manual entry and see whether what xtabond2 calls a "Sargan statistic" is the statistic you want. My guess is that it is. Cheers, Mark Prof. Mark Schaffer Director, CERT Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS tel +44-131-451-3494 / fax +44-131-451-3296 email: m.e.schaffer@hw.ac.uk web: http://www.sml.hw.ac.uk/ecomes

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From: owner-statalist@hsphsun2.harvard.edu on behalf of irodriguez@utdt.edu Sent: Mon 20-Feb-06 7:26 PM To: statalist@hsphsun2.harvard.edu Subject: st: xtabond2 Hansen J statistic

I want stata to calculate the Hansen J statistic instead of the sargan test when i use xtabond2 command but i don`t know how to do it Anyone could help me?

Thanks,

ines

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

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


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