NB: Critical values areforCragg-Donald F statistic and i.i.d. errors.---Hansen J statistic (overidentification test of all instruments):74.165Chi-sq(3) P-val =0.0000---Instrumented: iq Included instruments: s expr tenure rns smsa67.year68.year69.year70.year71.year73.year...
Hansen test of overid. (Robust, but can be weakened by many instruments.) 国内学者使用工具变量过度识别检验时,一般只使用Sargan Test,不知道为什么.我觉得两者各有所长啊. 分析总结。 国内学者使用工具变量过度识别检验时一般只使用sargantest不知道为什么结果...
Sargan-Hansen testCredal setStochastic orderIn empirical sciences such as psychology, the term cumulative science mostly refers to the integration of theories, while external (prior) information may also be used in statistical inference. This external information can be in the form of statistical ...
Dear Statlists, I am confused about the Sargan and Hansen tests reported after xtabond2 in the case of onestep, robust system GMM estimation. In the case of non-spericity in the errors the Sargan test is inconsistent and the Hansen test based on the twostep estimates is prefered. If I ...
可以参考：Sargan-Hansen testen.wikipedia.org/wiki/Sargan%E2%80%93Hansen_test ...
You could > simply reduce the lags used as > instruments and see whether the test is robust to this > excercise. But note > also that the Sargan test statistic is > not robust to heteroskedasticity - check if you can run the > robust version > of this test, the Hansen of J test. ...
Hansen–Sargan Test of Overidentifying RestrictionsYves Croissant