instrumental rank for simultaneous equation (GMM method)

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

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

instrumental rank for simultaneous equation (GMM method)

Postby kelaynak » Fri Aug 27, 2010 5:13 am

Hello,

Could you please help me how I can find instrumental rank for simultaneous equations with GMM for panel data?
I want to calculate sargan stattistics by using J-statistics. I need instrumental rank for calculation.

In Panel Estimation, Eviews give both instrumental rank and J-statistics , but in system object (simulataneous equations with gmm), it just give J-statistics. There is no info for intsrumental rank. Therefore, I cannot find sargan p-value.

Without p value of J-statistics, I could not test the sargan statistics about over-identification of hypothesis.

Therefore, could you please explain how I can find instrumental rank for simulataneous equations?

Thanks in advance

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 10 guests