Incorrect J-statistic in GMM output??
Posted: 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.
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.