Good morning All
I have run the TSLS because one of the variables may be endogenous. I am not sure how to interpret the results of the Regressor endogeneity test:
Value df Probability
Difference in J-stats 1.737618 2 0.4195
J-statistic summary:
Value
Restricted J-statistic 1.737618
Unrestricted J-statistic 0.000000
Does the above suggest that the instrument I used was not efficient? What exactly in the Null under this test? Thank you in advance!!
Difference in J-stats under TSLS
Moderators: EViews Gareth, EViews Moderator
Re: Difference in J-stats under TSLS
I forgot to mention that upob TSLS estimation using and IV variable, the previously significant result on the endogenous variable became insignificant, and the R-sq became negative... Does this all suggest the instrument I chose makes no sense? Thank you.
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