Difference in J-stats under TSLS
Posted: Wed Sep 20, 2017 7:02 am
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!!
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!!