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
instrumental rank for simultaneous equation (GMM method)
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