[Gretl-users] DPANEL and Sargan/Hansen test

Pindar pindar777 at gmail.com
Thu Jul 4 12:35:02 EDT 2013


The assertion holds true!
It's just the xtabond2 always reports two-step Sargan test even after a 
one-step estimation and vice versa.

In terms of Difference-in-Sargan coding I'd like to point out, that in 
the coming 'name space of non-standard models' an accessor for the 
number of instruments should be present too.

Thanks for the many comments and advice!

Cheers
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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