sargan

0th

Percentile

Hansen--Sargan Test of Overidentifying Restrictions

A test of overidentifying restrictions for models estimated by GMM.

Keywords
htest
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.

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.

Value

An object of class "htest".

References

HANS:82plm

SARG:58plm

See Also

pgmm()

Aliases
  • sargan
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)

# }
Documentation reproduced from package plm, version 2.2-5, License: GPL (>= 2)

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