In his paper on Xtabond2, Roodman (2009) says that "because of the risks, do not take comfort in a Hansen test p-value below 0.1. View higher values, such as 0.25, as potential signs of trouble." He is referring to the Hansen test result after conducting GMM using xtabond2.
When he says this, does he mean that a p value between 0.1 and 0.25 is fine, and that above 0.25 is potentially dangerous, or is he saying that one should only feel comfortable with p values above 0.25?
When he says this, does he mean that a p value between 0.1 and 0.25 is fine, and that above 0.25 is potentially dangerous, or is he saying that one should only feel comfortable with p values above 0.25?
Comment