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,

Value

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.

References

(Hansen 1982)

(Sargan 1958)

Author

Yves Croissant

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)
#> 
#> 	Sargan test
#> 
#> data:  log(emp) ~ lag(log(emp), 1:2) + lag(log(wage), 0:1) + lag(log(capital),  ...
#> chisq = 31.381, df = 25, p-value = 0.1767
#> alternative hypothesis: overidentifying restrictions not valid
#>