以官方griliches76.dta数据为例,lw为工资对数,s为受教育年限,expr为工龄,tenure为现单位工作年数,rns为美国南方虚拟变量 (住在南方 = 1),smsa为大城市虚拟变量 (住在大城市 = 1),iq为智商,med为母亲受教育年限,kww为一项职业测试成绩 (score on knowledge in world of work test),age为年龄,mrt为婚姻状况 ...
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
As described in Roodman (2006:11-12) the choice of relying on the Hansen's J or Sargan's test of overidentifying restrictions depends on whether you suspect non-sphericity in the errors (e.g. in the case of heteroscedastic errors). Sargan's statistic is a special case of Hansen's J ...
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 understood correctly, considering this xtabond2 reports the hansen statistic based on the twostep estimates in this case. Is that to say that the...
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 ...