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