sargan function

Hansen--Sargan Test of Overidentifying Restrictions

A test of overidentifying restrictions for models estimated by GMM.

sargan(object, ...)

## S3 method for class 'pgmm'
sargan(object, weights = c("twosteps", "onestep"), ...)

Arguments

• object: an object of class "pgmm",
• ...: further arguments (currently unused).
• weights: the weighting matrix to be used for the computation of the test,

Returns

An object of class "htest".

Details

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.

Examples

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)

References

\insertCite HANS:82plm

\insertCite SARG:58plm

See Also

pgmm()

Author(s)

Yves Croissant