Dears,

I've just computed the p-values of Sargan test for over-identifying restrictions in GMM Dynamic Panel Data Model.

I got the p-values by expressing the following

scalar pval=@chisq(x,y) where x is J-statistics and y is n. of instruments-n.of coefficients

However I have some doubts how to interpret the p-values since different packages have opposite ways of expressing this statistics.

Namely if my p-values are of the order of 0.00001 circa, shall I reject the null of valid over-identifying restrictions?

thanks