sargan.fct function

Sargan test.

sargan.fct tests the validity of the overidentifying restrictions.

sargan.fct(object)

Arguments

• object: An object of class pdynmc.

Returns

An object of class htest which contains the Sargan test statistic and corresponding p-value for the null hypothesis that the overidentifying restrictions are valid.

Details

The null hypothesis is that the overidentifying restrictions are valid. The test statistic is computed as proposed by \insertCite Sar1958estimation;textualpdynmc. As noted by \insertCite Bow2002testing;textualpdynmc and \insertCite Win2005;textualpdynmc, the test statistic is weakened by many instruments and inconsistent in the presence of heteroscedasticity according to \insertCite Roo2009StJ;textualpdynmc.

Examples

## Load data
data(ABdata, package = "pdynmc")
dat <- ABdata
dat[,c(4:7)] <- log(dat[,c(4:7)])
dat <- dat[c(140:0), ]

## Code example
m1 <- pdynmc(dat = dat, varname.i = "firm", varname.t = "year",
    use.mc.diff = TRUE, use.mc.lev = FALSE, use.mc.nonlin = FALSE,
    include.y = TRUE, varname.y = "emp", lagTerms.y = 2,
    fur.con = TRUE, fur.con.diff = TRUE, fur.con.lev = FALSE,
    varname.reg.fur = c("wage", "capital", "output"), lagTerms.reg.fur = c(1,2,2),
    include.dum = TRUE, dum.diff = TRUE, dum.lev = FALSE, varname.dum = "year",
    w.mat = "iid.err", std.err = "corrected", estimation = "onestep",
    opt.meth = "none")
sargan.fct(m1)

## Load data
 data(ABdata, package = "pdynmc")
 dat <- ABdata
 dat[,c(4:7)] <- log(dat[,c(4:7)])

## Further code example
 m1 <- pdynmc(dat = dat, varname.i = "firm", varname.t = "year",
    use.mc.diff = TRUE, use.mc.lev = FALSE, use.mc.nonlin = FALSE,
    include.y = TRUE, varname.y = "emp", lagTerms.y = 2,
    fur.con = TRUE, fur.con.diff = TRUE, fur.con.lev = FALSE,
    varname.reg.fur = c("wage", "capital", "output"), lagTerms.reg.fur = c(1,2,2),
    include.dum = TRUE, dum.diff = TRUE, dum.lev = FALSE, varname.dum = "year",
    w.mat = "iid.err", std.err = "corrected", estimation = "onestep",
    opt.meth = "none")
 sargan.fct(m1)

References

\insertAllCited

See Also

pdynmc for fitting a linear dynamic panel data model.