[Gretl-users] DPANEL and Sargan/Hansen test

Pindar pindar777 at gmail.com
Mon Jul 1 06:18:21 EDT 2013


Hi Allin,

thanks for the hints!

I now asked Roodman to give a clear 'recipe' for his overidentification 
tests and whether he already knows about the differences between his 
method and other well established software packages.
I gonna report back if there is some news.

In terms of the Baltagi data set it's as documented on page 143 in the 
gretl user-guide.
Restricting the sample length makes the point estimates of one-step and 
two-step very close to each other.

I now know how to perform the Difference-in Sargan test.
When the accessors gonna be available then it could be coded as well.
So long it's with printing the restricted and unrestricted model and 
saving the test statistics manually and perform the calculations.

Best
Leon

01.07.2013 04:10, Allin Cottrell:
> On Sun, 30 Jun 2013, Pindar wrote:
>
>> I'm still struggling with the dpanel methodology and the comparison of
>> results to e.g. Stata.
>> First, the Sargan test statistics reported by GRETL are equivalent to the
>> ones of Arellano and Bond (1991) Sargan tests.
> Yes; and in most cases they are identical with those produced by
> Ox/DPD. In gretl we use the formula given in the DPD manual to
> compute the Sargan test -- maybe this should be given in the User's
> Guide.
>
>> The assertion that the Sargan test of GRETL is the Hansen test in xtabond
>> seems not to be true for *xtabond2*.
> In some cases the assertion holds true, maybe not in others.
>
>> GRETL values are always closer to the Sargan tests of Roodman reported in
>> Roodman (2006). What is the Hansen test then?
> Ask Roodman, or another Stata guru. I don't know. It's not
> adequately documented in the xtabond2 PDF file.
>
>> In Baltagi (2005) I found a xtabond output. Here the results for GMM-Diff
>> one-step estimates are the same as of gretl and the Sargan test fits too
>> (note, here is only a Sargan test is reported in the output).
>> Strange in this comparison: In GRETL the two-step estimators are far away
>> from the one-step coefficients and completely different to the ones reported
>> in Baltagi (p. 157).
> This is a case where the "A" matrix is singular and so -- as
> explained in the Gretl User's Guide -- all bets are off. Gretl and
> Ox/DPD do the same thing (generalized inverse, Moore-Penrose). Stata
> apparently does something else, we don't know what.
>
>> Another questions is how to perform the
>> Difference-in-Sargan/Hansen tests in GRETL (as reported in
>> xtabond2)?
> At this point you'd have to code that yourself.
>
> Allin Cottrell
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> Gretl-users at lists.wfu.edu
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