Nr. coefficients and instrument rank for DPD GMM (EV6)
Posted: Thu Oct 06, 2011 11:11 am
Hello there,
this is something easy, but I can't find it quickly. I fancy that EV7 offers @jstat, @jprob, @ncoef and @instrank. But I want to compute the p-value for J-stat in EV6, for the estimate DPD GMM equation eq01. This is what I have:
How about instrument rank p? It should be the rank of the instrument matrix, but how to get that? Thanks for helping.
this is something easy, but I can't find it quickly. I fancy that EV7 offers @jstat, @jprob, @ncoef and @instrank. But I want to compute the p-value for J-stat in EV6, for the estimate DPD GMM equation eq01. This is what I have:
withscalar pvaljstat = @chisq(myjstat, p - k)
Code: Select all
scalar myjstat = eq01.@jstat
scalar k = eq01.@ncoefs