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instrumental rank for simultaneous equation (GMM method)

Posted: Fri Aug 27, 2010 5:13 am
by kelaynak

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