Sargan or J-Test on Eviews

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confused_economist
Posts: 9
Joined: Mon Apr 19, 2010 6:35 am

Sargan or J-Test on Eviews

Postby confused_economist » Mon Apr 19, 2010 6:47 am

Hi,

New here, great forum, very helpful. I have been trying to find ways of doing Sargan test or J-Test (I am under the impression they are the same, please correct me if I am wrong).

I am currently using EViews 6, I don't think my model would suit GMM, what is the other way of performing a test on the instrumental variables to see if they are suitable or if they are not too good, that is apart from J-test and Sargan test?

How would I perform these tests on EViews? Would I need to do more than pushing buttons (would be helpful if you could let me know which buttons to push!) or would I need to use equations (please provide equations again).

I would appreciate any help, I have searched google and everywhere for absolutely ages, but no good results have returned!

Many Thanks, very grateful!

hannibal
Posts: 7
Joined: Tue Jan 05, 2010 5:30 pm

Re: Sargan or J-Test on Eviews

Postby hannibal » Mon Apr 26, 2010 3:10 am

Hi,

you just give the command:

scalar pval=@chisq(J-Statistic, instruemntrank-nummber of regressors in the modell). if your get a very small p-val it mean your model is bad. optimal value ist between 20- und 30%= 0.20 uns 0-30.

confused_economist
Posts: 9
Joined: Mon Apr 19, 2010 6:35 am

Re: Sargan or J-Test on Eviews

Postby confused_economist » Wed Apr 28, 2010 9:18 am

Thanks Hannibal! Very helpful!

I ran a variety of models, some come back saying that I need random effect, some saying I am fixed effect. For my fixed effects model, all of my instruments have p-value of 1.0000, whilst in random effects model, the Sargan p-value 0.0000

Confused!!

hannibal
Posts: 7
Joined: Tue Jan 05, 2010 5:30 pm

Re: Sargan or J-Test on Eviews

Postby hannibal » Thu Apr 29, 2010 4:38 am

hi,
the p-val indicate, that you have misspecification in your model. maybe this due to high degree of autocorrelation!

confused_economist
Posts: 9
Joined: Mon Apr 19, 2010 6:35 am

Re: Sargan or J-Test on Eviews

Postby confused_economist » Thu Apr 29, 2010 10:45 am

Thanks Hannibal, very grateful, I will see what I can do! Cheers

gelarea54
Posts: 1
Joined: Wed Dec 23, 2020 8:07 am

Re: Sargan or J-Test on Eviews

Postby gelarea54 » Wed Dec 23, 2020 8:11 am

hannibal wrote:Hi,

you just give the command:

scalar pval=@chisq(J-Statistic, instruemntrank-nummber of regressors in the modell). if your get a very small p-val it mean your model is bad. optimal value ist between 20- und 30%= 0.20 uns 0-30.

Hello
I did this command but the software doesnt run it and gave the error:statistic not defined.How i can check the problem and do sargan test in eviews.
thank u

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: Sargan or J-Test on Eviews

Postby startz » Wed Dec 23, 2020 8:58 am

You might want to show us the exact command you typed.


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