statsmodels.sandbox.regression.gmm.GMMResults.compare_j

GMMResults.compare_j(other)

overidentification test for comparing two nested gmm estimates

This assumes that some moment restrictions have been dropped in one of the GMM estimates relative to the other.

Not tested yet

We are comparing two separately estimated models, that use different weighting matrices. It is not guaranteed that the resulting difference is positive.

TODO: Check in which cases Stata programs use the same weigths