Sargan Test

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ev2889
Posts: 10
Joined: Mon Jan 27, 2014 6:57 pm

Sargan Test

Postby ev2889 » Thu Apr 10, 2014 8:07 pm

I realise that the EViews manual (Guide 2) has a single paragraph describing the J-statistics/Sargan statistics from GMM estimation. As I need to conduct the Sargan test for over-identification problem, I hope to get the whole procedure. Is there any other manuals that describe the Sargan test in more details? Thanks.

EV
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