Search found 3 matches

by andre_6043
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...
by andre_6043
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 ...
by andre_6043
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...

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