Hi all,
I am running diff GMM using Sebastian's xtdpdgmm command. However, I am not sure how to interpret the 2 different Sargan-Hansen tests that are produced when I run "estat overid". Is one more important than the other? What range should the p-values both be in?
Note that my instrument count is between 20-30, the number of groups I have is 52, I have about 1200 observations and 32 time periods. Instruments are collapsed.
I have tried looking at older threads to find the answer, but could not see one.
Best,
Jaspal
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