In simultaneous equations for panel data, there is J-statistics for GMM.
In manual I found that I can get Sargan test result (p-value) by using J-statistics
pval=@chisq(j-statistics, (instrument rank - number of variables)) for panel data.
1) Is it also valid for simultaneousg equation in panel data?
1a) if yes, eviews 7 can not give instrument rank in simulataneous eqn in gmm, how can I find it?
1b) if yes, what will be number of variables; total numbers of variables in all equations?
2) Can I also get Hansen test statiscs in similar methodology?
If yes, how?
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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