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  • how to extract sargan pvalue from xtdpdsys command

    How can I extract the sargan p value from xtdpdsys command
    when I check in
    Code:
     eret list
    I see e(sargan) but nothing like sargan pvalue, but I am able to print the value when running estate sargan.

    Code:
    xtdpdsys lnNRR lnOpen if Year>208, lags(1) artests(2)
    Code:
    estat sargan
    Sargan test of overidentifying restrictions
    H0: Overidentifying restrictions are valid
    
    chi2(153)    =  207.3151
    Prob > chi2  =    0.0023
    Code:
    . eret list
    
    scalars:
    e(rank) =  3
    e(sig2) =  .0963451590472303
    e(rss) =  28.32547675988571
    e(N) =  150
    e(N_g) =  15
    e(g_min) =  10
    e(g_max) =  10
    e(g_avg) =  10
    e(t_min) =  1996
    e(t_max) =  2018
    e(chi2) =  550.7942281140204
    e(df_m) =  2
    e(zrank) =  156
    e(artests) =  0
    e(sargan) =  207.3151204592509
    
    macros:
    e(cmdline) : "xtdpdsys lnNRR lnOpen if Year>2008, lags(1)    artests(2)"
    e(cmd) : "xtdpdsys"
    e(estat_cmd) : "xtdpd_estat"
    e(marginsok) : "XB default"
    e(predict) : "xtdpd_p"
    e(depvar) : "lnNRR"
    e(transform) : "difference"
    e(tvar) : "Year"
    e(ivar) : "id"
    e(datasignaturevars) : "lnNRR L.lnNRR lnOpen"
    e(datasignature) : "345:47(71867):1803732423:3311762091"
    e(system) : "system"
    e(vce) : "gmm"
    e(properties) : "b V"
    
    matrices:
    e(b) :  1 x 3
    e(V) :  3 x 3
    
    functions:
    e(sample)


  • #2
    looks like you'll have to compute it.

    di chi2tail(153,207.3151)
    di chi2tail(e(zrank)-e(rank),e(sargan))

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