GMM

[pabalo]

Firts of all, I apologise because I am new in this forum and I don't undestand exactly where to write. Anyway, I am sure that you are going to help me.

I am estimating a hybrid IS curve in GMM, using as instruments lags of the variables(dependent and independet). Well, the point is that if I use, for example, four lags of the variables (as instruments), I get some values for the coefficients, with the right signs for each variable. But, if I use, for example, six lags, I get again the right signs for the coefficients, but some of them change significantly. So, my questiong is how I can identify which set of instrument is the best for the estimation.

I know that I have to take into account the J-statistic provided by Eviews, but I don't know how I can compare the value of this test in the same spectification of the equation but with different set of instrument.

Thanks for your comment.