Search found 3 matches
- Thu Nov 26, 2009 7:10 am
- Forum: Estimation
- Topic: J Test and Instrument Rank
- Replies: 4
- Views: 13522
Hansens J-statistic in dynamic regression
Dear all, i am currently doing a dynamic regression using as instruments dynamic lagged values (@dyn(-2,-5)) of the variable. Does it makes sense to check Hansen's J-Stat to see whether I use relevant and valid instruments? In case it does make sense, how do I know how many degrees of freedom my dyn...
- Wed Oct 07, 2009 8:30 am
- Forum: Estimation
- Topic: J Test and Instrument Rank
- Replies: 4
- Views: 13522
J Test and Instrument Rank
Dear all, i am currently doing a GMM Regression with 4 potentially endogenous independant variables and 3 exogenous independant variables. The 3 endogenous variables are instrumented with the same three lagged (1 period) variables and one additional instrument. The question I have concerns the test ...
- Mon Sep 14, 2009 2:26 am
- Forum: Data Manipulation
- Topic: Removing outliers: Winsorization
- Replies: 3
- Views: 21983
Removing outliers: Winsorization
Dear all, I kindly ask you about Help concerning Winsorization in Eviews6. I have quite a big panel data set with a lot of outliers. To improve the quality of the regression I would like to remove the outliers by doing a winsorization at the 0.5% level. Is this possible in Eviews? What is the Eviews...
