J statistics and GMM

[BGstudent]

Hello,

When EViews reports results from GMM estimation the "J-stats" is the J statistics right, not the probability of "J statistics".

Radoslav

[EViews Gareth]

Correct

[BGstudent]

Hi Gareth,
Does EViews have a feature which shows the probability of J-stat?

Radoslav

[EViews Gareth]

By default the prob is shown:

[BGstudent]

So it doesnt show it when the J-statistics is very low?

[startz]

I believe that you have a just-identified system, so the J-statistic is zero except for rounding error. The p-value doesn't mean anything.

[EViews Gareth]

You have a panel equation. We don't show the p-value on a panel.

[BGstudent]

Thank you, Gareth.

[delcredere]

to get the pvalue of the j statistics you use the below:


scalar pval=@chisq(J-Statistic, instruemntrank-nummber of regressors in the model)

my question is how do you execute that command in eviews 8