Sargan test p-value interpretation
Posted: Wed Oct 21, 2009 9:11 am
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
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