sargan: Hansen-Sargan Test of Overidentifying Restrictions
In plm: Linear Models for Panel Data

Description Usage Arguments Details Value Author(s) References See Also Examples

A test of overidentifying restrictions for models estimated by GMM.

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

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

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.

An object of class "htest".

Yves Croissant

\insertCite

HANS:82plm

\insertCite

SARG:58plm

pgmm()

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)