求助 difference-in-hansen

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各位大侠，小弟想请教以下几个问题，不知哪位高手愿意相助：

1) I have estimated the system GMM by using the -twostep robust- option, is the value of Difference-in-Hansen exactely the same as Difference-in-Sargan's value?

2) I want to report the statistic and p-value of Difference-in-Sargan/Hansen, but i am not sure how to obtain it.

3) 为什么有时候在屏幕下端出现4行Difference-in-Hansen tests 有的时候只出现2行Difference-in-Hansen tests?  2者有什么区别吗

4）On the bottom 4 lines of results table, it displays as:
Difference-in-Hansen tests of exogeneity of instrument subsets:
  
Hansen test excluding group:     chi2(14)   =  16.92  Prob > chi2 = 0.261
Difference (null H = exogenous): chi2(5)    =   5.76  Prob > chi2 = 0.330
  
Hansen test excluding group:     chi2(4)    =   1.33  Prob > chi2 = 0.857
Difference (null H = exogenous): chi2(15)   =  21.35  Prob > chi2 = 0.126
  
I am not sure whether my following understaning is correct or not:
i) the first line tests the IV relevance of GMM-type instruments in the level equation
ii) the second line tests the IV exogeneity of GMM-type instruments in the level equation
iiii) the third line tests the IV relevance of IV-type instruments in the level equation
iv) the fourth line tests the IV exogeneity of IV-type instruments in the level equation
Does the failure of rejection imply system GMM is better than difference GMM?

5) can i make the IVs for endogenous variables are dated from t-3 ? If i can, is the command -xtabond, gmm(L.Y, lag(2. ))- correct? I understand that the conventional IV is dated from t-2.

热切期待各位大侠的指教

Pan

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关键词：difference Hansen erence DIFFER Diff system bottom option report result