Hansen/Sargan test for simultaneous equations with gmm

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Hansen/Sargan test for simultaneous equations with gmm

Postby kelaynak » Wed Aug 25, 2010 11:01 pm


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?


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