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st: -endog-test under xtivreg2: Jansen's J-stats
From
Ari Dothan <[email protected]>
To
statalist <[email protected]>
Subject
st: -endog-test under xtivreg2: Jansen's J-stats
Date
Wed, 23 Feb 2011 15:20:41 +0200
Hi all,
In an answer which professor Schaffer provided on 31st May, 2006, see
http://www.stata.com/statalist/archive/2006-05/msg01071.html,
he explains as follows:
"
"If it's overidentified, i.e., you're using all the plausible
instruments (see my comment above), then the J stat is a specification
test. If the stat is large, then you *fail* the test, because the
null is that all the instruments are valid, and a large J stat means
you reject the null."
can someone explain why a large J means rejection of the null in this case?
Thank you very much
--
Ari Dothan
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