Hansen–Sargan Test of Overidentifying Restrictions

Description

A test of overidentifying restrictions for models estimated by GMM.

Usage

sargan(object)

Arguments

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".

Author(s)

Yves Croissant

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.

See Also

pgmm

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)