instrumental rank for simultaneous equaion system (gmm)

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instrumental rank for simultaneous equaion system (gmm)

Postby kelaynak » Fri Aug 27, 2010 10:03 pm


In system object (simulatneousg equations) for gmm-hac and gmm-cross secion, there is J-statistics, but there is no instrumental rank info.
Therefore, I can cant calculate sargan statistcs p-value and I cannot give a comment for J-statistic.

In panel Equation for gmm, Eviews give both J-statistics and instrumental rank.
Thus, I can get Sargan p value by using the fomula given in E-views manual. pvalue= chisq(j-statistics, (instrumental rank-no of coefficients))

Could you please add intsrumnetal rank to Eviews system object gmm-hac and GMM-cross section section?

Thanks in advance

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