Nr. coefficients and instrument rank for DPD GMM (EV6)

[nadja123]

Hello there,
this is something easy, but I can't find it quickly. I fancy that EV7 offers @jstat, @jprob, @ncoef and @instrank. But I want to compute the p-value for J-stat in EV6, for the estimate DPD GMM equation eq01. This is what I have:

scalar pvaljstat = @chisq(myjstat, p - k)

with

Code: Select all

scalar myjstat = eq01.@jstat scalar k = eq01.@ncoefs

How about instrument rank p? It should be the rank of the instrument matrix, but how to get that? Thanks for helping.

[EViews Gareth]

You'll have to free the equation output into a table, and then extract the instrument rank from that table.

[nadja123]

Hello there,
but the size of the table as you suggest can differ for every equation I estimate (depending on the specification, etc.).
No, this does not seem the way to go at all, as I want to run my code for various specs.
Pls let me know the programming path to do it. Thanks.

[EViews Gareth]

You can figure out where the instrument rank is by searching through the table looking for the text "Instrument rank", and then grabbing the cell next to it.

That's the only solution (other than upgrading to EViews 7).