:13.786(Kleibergen-Paap rk Wald F statistic):12.167Stock-Yogo weak ID test critical values:5% maximal IV relative bias16.8510% maximal IV relative bias10.2720% maximal IV relative bias6.7130% maximal IV relative bias5.3410% maximal IV size24.5815% maximal IV size13.9620% maximal IV size10.2625% ma...
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...
Is that to say that the test statistic reported under 'Sargan test of overid. restrictions' is the hansen test from the twostep estimates? And if that is the case what is reported under 'Hansen test of overid. restriction'? I am sorry if I am bothering you with an 'obvious' question....