[Limdep Nlogit List] Bhargava/Sargan Test

dgiantsios at uom.gr dgiantsios at uom.gr
Wed Dec 18 03:52:10 AEDT 2019

Dear All

Recently i run a dynamic random effects model with the two-step GMM 
estimation method because i include the lagged dependent variable in the 
regressors. LIMDEP/NLOGIT 5 gives the Bhargava/Sargan test but i cannot 
understand which H0 hypothesis this test searches. Is it preferable to 
obtain p-values for this statistic near zero or near one in order to 
have accurate estimates?

Thanks n Advance

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