Hansen/Sargan test for simultaneous equations with gmm

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.

Moderators: EViews Gareth, EViews Moderator

Posts: 33
Joined: Fri Nov 07, 2008 7:02 am

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?


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 14 guests