Hansen/Sargan test for simultaneous equations with gmm
Posted: Wed Aug 25, 2010 11:01 pm
Hello,
In simultaneous equations for panel data, there is J-statistics for GMM.
In manual I found that I can get Sargan test result (p-value) by using J-statistics
pval=@chisq(j-statistics, (instrument rank - number of variables)) for panel data.
1) Is it also valid for simultaneousg equation in panel data?
1a) if yes, eviews 7 can not give instrument rank in simulataneous eqn in gmm, how can I find it?
1b) if yes, what will be number of variables; total numbers of variables in all equations?
2) Can I also get Hansen test statiscs in similar methodology?
If yes, how?
Thanks
In simultaneous equations for panel data, there is J-statistics for GMM.
In manual I found that I can get Sargan test result (p-value) by using J-statistics
pval=@chisq(j-statistics, (instrument rank - number of variables)) for panel data.
1) Is it also valid for simultaneousg equation in panel data?
1a) if yes, eviews 7 can not give instrument rank in simulataneous eqn in gmm, how can I find it?
1b) if yes, what will be number of variables; total numbers of variables in all equations?
2) Can I also get Hansen test statiscs in similar methodology?
If yes, how?
Thanks