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How to obtain the value of Difference-in-Hansen/Sargan

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How to obtain the value of Difference-in-Hansen/Sargan

wangpan110
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Dear All, I have 3 questions about the Difference-in-Hansen test.

1) I have estimated the system GMM by using the -twostep robust- option, is the value of Difference-in-Hansen exactely the same as Difference-in-Sargan's value?

2) I want to report the statistic and p-value of Difference-in-Sargan/Hansen, but i am not sure how to obtain it.

3) On the bottom 4 lines of results table, it displays as:

 Difference-in-Hansen 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 GMM-type instruments in the level equation
ii) the second line tests the IV exogeneity of GMM-type instruments in the level equation
iiii) the third line tests the IV relevance of IV-type instruments in the level equation
iv) the fourth line tests the IV exogeneity of IV-type instruments in the level equation

Does the failure of rejection imply system GMM is better than difference GMM?

Any help is greatly appreciated.

Patrick


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