plm (version 2.1-0)

sargan: Hansen--Sargan Test of Overidentifying Restrictions

Description

A test of overidentifying restrictions for models estimated by GMM.

Usage

sargan(object, weights = c("twosteps", "onestep"))

Arguments

object

an object of class "pgmm",

weights

the weighting matrix to be used for the computation of the test.

Value

An object of class "htest".

Details

The Hansen--Sargan 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.

References

HANS:82plm

SARG:58plm

See Also

pgmm()

Examples

# NOT RUN {
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)

# }

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