Sargan statistic (eqn. excluding suspect orthogonality conditions):47.413Chi-sq(2) P-val =0.0000C statistic (exogeneity/orthogonality of suspect instruments):40.242Chi-sq(1) P-val =0.0000Instruments tested: age---Instrumented: iq Included instruments: s expr tenure rns smsa67.year68.year69.year7...
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'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...
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 ...
问题背景2. 过度识别检验2.1 Sargan 检验2.2 Hansen原文链接:https://www.lianxh.cn/news/67e04ad54052c.html 目录 1. 问题背景 2. 过度识别检验 2.1 Sargan 检验 2.2 Hansen J 检验 2.3 C 统计量 3. 过度识别检验的 Stata 实现 3.1 ivreg2 命令 [连享会直播:Stata数据清洗 (7.21 日)](https:/...
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 ...