Hansen J statistic

[Noemi Seng]

Dear community,

for my dynamic regression which I estimated with xtabond, I would like to do the Hansen J test in order to check whether the instruments used are valid. However, this is not possible with estat overid. Is there any other way I can conduct the Hansen test?

I would appreciate any help!

[Sebastian Kripfganz]

You might have to use a community-contributed alternative to xtabond; see for example my xtdpdgmm command:

• Kripfganz, S. (2019). Generalized method of moments estimation of linear dynamic panel data models. Proceedings of the 2019 London Stata Conference.