J statistic

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

maulubas
Posts: 1
Joined: Sat Jun 06, 2009 5:46 am

J statistic

Postby maulubas » Sat Jun 06, 2009 6:04 am

I am estimating a system using GMM (the system is obtained from what is normally a panel data set, where each year forms a cross-sectional data set and these cross-sections are separate models in Spec - so it is pooled cross-sections over time).

I am trying to interpret the J statistic provided by Eviews for the purposes of testing the overidentifying restrictions. In the Help section, it is said that the J statistic in a panel differs from that of cross-sectional by a factor of number of observations. I believe this is not applicable to my case?? Do I have to multiply the provided J statistic by the number of observations or take it as given?

Thanks.

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests