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I am using Eviews 7. I am doing GMM estimation and want to use the IV diagnostics and tests that Eviews has available. But I am having difficulty interpreting the test results.

For the regressor endogeneity test, is the null hypothesis that the regressors are endogenous (for example, the p-value I'm getting is 0.80, which would mean the regressos are endogenous)?

For the weak instruments diagnostics, is the null hypothesis for the Cragg-Donald F-statistic that the instruments are valid? And for the MSC, are lower numbers better when comparing between competing instrument sets?

Thanks for your help,
Matt

For the Endogeneity test, the null is that the instrument subset is exogenous.

For the Stock-Yogo variant of the Cragg-Donald statistic the null is that the instruments are weak, even though the parameters might be identified.

For the Endogeneity test, the null is that the instrument subset is exogenous.

I don't understand why the null refers to the instrument subset rather than the regressor subset. Are you referring to the Instrument Orthogonality Test, perhaps? For the Regressor Endogeneity Test, I thought the purpose was to determine whether a regressor is endogenous (explained by the instruments) or exogenous (not explained by the instruments).

Thanks,
Matt

Sorry, I was describing the instrument orthogonality test...

The standard Durbin-Wu-Hausman null is that the candidate variables are exogenous (and are therefore valid instruments).

Hi,
Kindly help me out as to how to interpret results for GMM. I got the following results:
for instrument orthogonality test: Difference in J-stats -1.33E-15 0 NA: i do not understand why df is zero
for endogeneity test: Difference in J-stats 0.003204 1 0.9549: what is null hypothesis in it...
Weak Instrument Diagnostics:
Cragg-Donald F-statistic: 0.434938
Stock-Yugo critical values (relative bias):
5% 19.28
10% 11.12
20% 6.76
30% 5.15
Stock-Yugo critical values (size):
10% 29.18
15% 16.23
20% 11.72
25% 9.38
how do we interpret cragg-donald.....

Dear all,
Please help me with the interpretation of "Weak Instrument Diagnostic test".
I know the null hypothesis is that the instruments are weak. The result is:
Cragg-Donald F-stat: 0.034220
Stock-Yogo critical values (size):
10% 13.43
15% 8.18
20% 6.40
25% 5.45
Your response is appreciated, thank you.