Hansen test for xtdpdsys

[Wor Angkana]

Hi. I am fairly new to stata but can anyone tell me how I can get the Hansen j statistics after using the command xtdpdsys? I understand xtabond2 will produce that but I am not very good at that code and have been using xtdpdsys for most of my models. thank you!

[Sebastian Kripfganz]

xtdpdsys does not provide this statistic. You need to use either xtabond2 or xtdpdgmm. If you plan to work more with dynamic panel models, it pays off to get used to the advanced syntax of these commands. The following presentation, which includes several examples, might be of help:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.