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!
Sargan or J-Test on Eviews
Moderators: EViews Gareth, EViews Jason, EViews Steve, EViews Moderator
Re: Sargan or J-Test on Eviews
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.
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.
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Re: Sargan or J-Test on Eviews
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!!
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!!
Re: Sargan or J-Test on Eviews
hi,
the p-val indicate, that you have misspecification in your model. maybe this due to high degree of autocorrelation!
the p-val indicate, that you have misspecification in your model. maybe this due to high degree of autocorrelation!
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Re: Sargan or J-Test on Eviews
Thanks Hannibal, very grateful, I will see what I can do! Cheers
Re: Sargan or J-Test on Eviews
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
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- Non-normality and collinearity are NOT problems!
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Re: Sargan or J-Test on Eviews
You might want to show us the exact command you typed.
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