Dears,
I've just computed the pvalues of Sargan test for overidentifying restrictions in GMM Dynamic Panel Data Model.
I got the pvalues by expressing the following
scalar pval=@chisq(x,y) where x is Jstatistics and y is n. of instrumentsn.of coefficients
However I have some doubts how to interpret the pvalues since different packages have opposite ways of expressing this statistics.
Namely if my pvalues are of the order of 0.00001 circa, shall I reject the null of valid overidentifying restrictions?
thanks
Sargan test pvalue interpretation
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Re: Sargan test pvalue interpretation
Hello, I have the same question. How can be explained this? Thank you.

 Nonnormality and collinearity are NOT problems!
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Re: Sargan test pvalue interpretation
While different packages have different ways of writing the statistics, the pvalues should be the same. A small pvalue means reject.
Re: Sargan test pvalue interpretation
Hello,
My data has N<T, I know that DPD estimator is essentially efficient/unbiased for N>T. But in an attempt to replicate a similar study I prefer to use it.
Total panel obs : 231
I used DPD estimator and model ran fairly well.
Number of Coefficients estimated 3.
Jstat : 4.456718
Instrument rank : 7 with p_value 0,26 where Sargan test null is not rejected and I'm happy.
But my instructor commented that the degrees of freedom in Sargan chi square test (74 =3) is low and poses a problem.
But does not point out what is the problem. I couldnt find a clue in books, forums as to whether there is a problem or not.
Since I am aiming to finalize the project would very much appreciate your assistance. many thanks in advance.
BR
Ahmet
My data has N<T, I know that DPD estimator is essentially efficient/unbiased for N>T. But in an attempt to replicate a similar study I prefer to use it.
Total panel obs : 231
I used DPD estimator and model ran fairly well.
Number of Coefficients estimated 3.
Jstat : 4.456718
Instrument rank : 7 with p_value 0,26 where Sargan test null is not rejected and I'm happy.
But my instructor commented that the degrees of freedom in Sargan chi square test (74 =3) is low and poses a problem.
But does not point out what is the problem. I couldnt find a clue in books, forums as to whether there is a problem or not.
Since I am aiming to finalize the project would very much appreciate your assistance. many thanks in advance.
BR
Ahmet
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