采用sys-gmm.通常会报告两个sargan值,检验结论在有些情况下是相反的。如:
Sargan test of overid. restrictions: chi2(24) = 67.47 Prob > chi2 = 0.000
(Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(24) = 22.74 Prob > chi2 = 0.535
(Robust, but can be weakened by many instruments.)
如何进行最终判断?
谢谢!