Hansen–Sargan Test of Overidentifying RestrictionsYves Croissant
. xtoverid, robust Test of overidentifying restrictions: Cross-section time-series model: xtivreg g2sls robust Sargan-Hansen statistic 1.777 Chi-sq(2) P-value = 0.4112 * xtoverid after xtivreg, fe: . quietly xtivreg lny_l medium large grupo intra1 inter1_p (lnRDs_l lnCFs_l= lag1RD l...
-xtoverid-, available from SSC in the usual way, provides a test of overidentifying restrictions after estimation by -xthtaylor-. This may be what you're looking for. HTH, mark *** From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of sim...
On testing overidentifying restrictions in dynamic panel data models Econ. Lett. (2002) M.J.G. Bun et al. The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models J. Econom. (2006) H.E. Doran et al. GMM estimators with improved finite sample properties using...
Fang EX, Ning Y, Li R (2020) Test of significance for high-dimensional longitudinal data. Ann Stat 48(5):2622 Article MathSciNet Google Scholar Fan Q, Guo Z, Mei Z (2022) Testing overidentifying restrictions with high-dimensional data and heteroskedasticity. arXiv preprint arXiv:2205.00171...
test of overidentifying restrictionsFixed alternatives are determined against which the OR test is inconsistent. If there is a "true parameter" then the result of the OR pretest should be carefully interpreted. The inconsistency result of the OR test is related to the literature on "optimal" ...
The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first order local ...
A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters. Economics Letters 117, 901-904.Guggenberger, P. 2012. "A Note on the (In)consistency of the Test of Overidentifying Restrictions and the Concepts of True and Pseudo...
The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of first-order local ...
Two versions of the overidentifying restrictions test are compared globally by means of the approximate slopes approach. With no autocorrelation in the moment functions, it is found that the GMM overidentifying test with the mean deviation covariance matrix is more powerful than the test using the ...