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Dear All, I have 3 questions about the DifferenceinHansen test.
1) I have estimated the system GMM by using the twostep robust option, is the value of DifferenceinHansen exactely the same as DifferenceinSargan's value?
2) I want to report the statistic and pvalue of DifferenceinSargan/Hansen, but i am not sure how to obtain it.
3) On the bottom 4 lines of results table, it displays as:
DifferenceinHansen tests of exogeneity of instrument subsets:
Hansen test excluding group: chi2(14) = 16.92 Prob > chi2 = 0.261
Difference (null H = exogenous): chi2(5) = 5.76 Prob > chi2 = 0.330
Hansen test excluding group: chi2(4) = 1.33 Prob > chi2 = 0.857
Difference (null H = exogenous): chi2(15) = 21.35 Prob > chi2 = 0.126
I am not sure whether my following understaning is correct or not:
i) the first line tests the IV relevance of GMMtype instruments in the level equation
ii) the second line tests the IV exogeneity of GMMtype instruments in the level equation
iiii) the third line tests the IV relevance of IVtype instruments in the level equation
iv) the fourth line tests the IV exogeneity of IVtype instruments in the level equation
Does the failure of rejection imply system GMM is better than difference GMM?
Any help is greatly appreciated.
Patrick
