plm (version 0.2-2)

sargan: Hansen--Sargan test of overidentifying restrictions

Description

A test of overidentifying restrictions for GMM models

Usage

sargan(object)

Arguments

object

an object of class "pgmm".

Value

• An object of class "htest".

Details

The Hansen--Sargan test calculate the quadratic form of the moment restrictions that is minimized while computing the GMM estimator. It follows asymptotically a chi square with a number of degrees of freedom equal to the difference of the number of moment conditions and the number of coefficients.

References

Hansen, L.P. (1982), Large Sample Properties of Generalized Methods of Moments Estimators, Econometrica, 50, 1029--54. Sargan, J.D. (1958), The Estimation of Economic Relationships using Instrumental Variables, Econometrica, 26, pp.393--415.

Examples

data(EmplUK)
pdata.frame(EmplUK,"firm","year")
ar <- pgmm(dynformula(log(emp)~log(wage)+log(capital)+log(output),list(2,1,2,2)),EmplUK,
           effect="twoways",model="twosteps",
           gmm.inst=~log(emp),lag.gmm=list(c(2,99)))
sargan(ar)