sargan: Hansen-Sargan Test of Overidentifying Restrictions

In ycroissant/plm: Linear Models for Panel Data

Hansen–Sargan Test of Overidentifying Restrictions

Description

A test of overidentifying restrictions for models estimated by GMM.

Usage

sargan(object, weights = c("twosteps", "onestep"))

Arguments

object	an object of class "pgmm",
weights	the weighting matrix to be used for the computation of the test.

Details

The Hansen–Sargan test ("J test") calculates the quadratic form of the moment restrictions that is minimized while computing the GMM estimator. It follows asymptotically a chi-square distribution with number of degrees of freedom equal to the difference between the number of moment conditions and the number of coefficients.

Value

An object of class "htest".

Author(s)

Yves Croissant

References

\insertCite

HANS:82plm

\insertCite

SARG:58plm

See Also

pgmm()

Examples

data("EmplUK", package = "plm")
ar <- pgmm(log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) +
           lag(log(capital), 0:2) + lag(log(output), 0:2) | lag(log(emp), 2:99),
           data = EmplUK, effect = "twoways", model = "twosteps")
sargan(ar)

ycroissant/plm documentation built on July 8, 2024, 3:59 a.m.