J-Statisitc?
Posted: Fri Mar 04, 2016 1:15 pm
Am I right in thinking that the J-Statistic and Prob(J-statistic) computed under GMM is the same as Hansen's J Statistic - a check to see whether our instruments satisfy the orthogonality condition?
If this is the case, could someone tell me the null and alternative hypothesis for this said statistic?
Would be ever so grateful!
If this is the case, could someone tell me the null and alternative hypothesis for this said statistic?
Would be ever so grateful!