xtdpdsys & Hansen Test

[Rania Shahine]

Hello everyone,
I am using the xtdpdsys with the option vce(robust) and I am trying to get the Hansen Test of Overidentification. It doesn't seem that the test is available after this command. Does anyone know how to get the Hansen test as a post estimation after the xtdpdsys command?

[Sebastian Kripfganz]

As you noticed, xtdpdsys indeed does not report it. I recommend to use my xtdpdgmm command instead:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.
• XTDPDGMM: new Stata command for GMM estimation of linear (dynamic) panel data models

[Rania Shahine]

Thank you so much Sebastian! I wrote the whole code with xtdpdsys but I will move to the xtdpdgmm. Thanks for recommending it!

[Zvonimir Kulis]

Hello, I have a question about Sargan/Hansen test. I apologize if it is a bit naive question, I would appreciate your help.

I run my system gmm panel regression using xtabond2 option. I'm using the two-step option. Then, I tried to obtain the same coefficients with xtdpdsys command, following the instructions in this thread . I managed to get very similar coefficients/p-values for independent variables, but they were not identical.

What confuses me is the following.

1) After xtdpdsys, I performed estat sargan. I got the test result

xtdpdsys, Sargan test => 58.516 with p-value 0.6482.

2) After xtabond2, I got results reported as follows

xtabond2, Sargan test => 35.40 with p-value 0.999
xtabond2, Hansen test => 59.32 with p-value 0.623

I was wondering, as the results of the Sargan test with xtdpdsys and the Hansen test with xtabond2 look almost identical, are these test reports the same thing, but with different functions? If so, can we call it the Sargan-Hansen test? Otherwise, I'm confused as to why the Sargan test differs that much.

As I said, I'm using the two-step option, and I read in this thread that "with two-step GMM, only the Hansen test is relevant". However, option xtdpdsys doesn't allow for the Hansen test, although it allows the two-step option.

Thank you very much for your help.