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...
Hansen–Sargan Test of Overidentifying RestrictionsYves Croissant
Sargan test of overid (Not robust, but not weakened by many instruments.) 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. 解析看不懂?免费查看同类题视频解析查看解答 ...
从表1中模型的诊断检验来看,我们选取的工具变量及其滞后阶数是合适的,一步系统GMM估计所采用的工具变量表现良好,AR(2)检验表明差分方程得到的残差不存在二阶自相关,Hansen test显示过度识别条件成立。 第三步,由于工具变量法能解决内生性问题,却仍无法解决模型中很可能存在的遗漏变量问题。因此,本文用系统GMM方法来...
Sargan's statistic is a special case of Hansen's J under the assumption of homoscedasticity. Therefore, for robust GMM the Sargan test statistic is inconsistent. Nonetheless, both these tests have low power if your model includes a very large set of excluded instruments, so you might want to...
可以参考：Sargan-Hansen testen.wikipedia.org/wiki/Sargan%E2%80%93Hansen_test ...
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 ...
You can proceed the way you did, just include the suspect regressor in its own iv() option in xtabond2, then it reports a difference-in-Sargan/Hansen test of whether that instrument is valid, assuming the others are. This is equivalent to testing whether the variable is exogenous. For ...
If I'm not mistaken, the Hansen statistic is the same thing as the Sargan statistic. GMM gives you the result of the Hansen test of overidentifying restrictions. Hope this helps, Stephanie --- Original Message --- From: "Markiewicz, Agnieska" <Agnieszka.Markiewicz@econ.kuleuven.ac.be> To...