Incorrect J-statistic in GMM output??

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oksanakim
Posts: 52
Joined: Wed Apr 04, 2012 10:38 am

Incorrect J-statistic in GMM output??

Postby oksanakim » Tue May 01, 2018 6:06 am

Dear Moderators and users.

I am estimating the model using GMM and several instrumental variables in Eviews 10. The output shows the J-statistic and also the probability of J-statistic. My understanding was that this J-statistic is a Sargan statistics and that output is ready to test the Null hypothesis: instruments are valid. However, in the literature, I came across a claim that the GMM-reported J-statistic is actually incorrect and that it should be amended by multiplying the reported one by a number of observations, the p-value has to be recalculated to get the actual J-statistic that can be used to test the null. How true is this?? I am attaching the document where I found this. I am confused. Thank you.
Attachments
On the IV testing in Eviews useful.doc
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EViews Gareth
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Re: Incorrect J-statistic in GMM output??

Postby EViews Gareth » Tue May 01, 2018 7:31 am

That document is extremely old and out of date. If you're using EViews 7, 8, 9, 10 or later, it is not applicable.
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oksanakim
Posts: 52
Joined: Wed Apr 04, 2012 10:38 am

Re: Incorrect J-statistic in GMM output??

Postby oksanakim » Tue May 01, 2018 7:37 am

I see. I am using an unstructured panel and GMM estimation. So the J-stat with a related probability is basically ready to test for the Null: instruments are valid, correct? I am attaching the file with an example of my estimation, marking the J(Prob of J) that I am inquiring about. Thanks a lot.
Attachments
Eviews Jstat example.docx
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