求助：eviews进行GMM显示的J统计量是p值吗？

liangsai8888 发表于 2012-11-17 16:49
是的，后面加ar1 ar2就行了

1.DYNAMIC Panel model data model wizard 中选择因变量
2第二布选择自变量 并在自变量中输入AR(1) AR(2) 然后按步骤按下其他的。最后确定，提示不能做ar(1)和AR(2)

ilovesddx 发表于 2012-11-17 23:19
你好！谢谢你。但是我试了一下好像不行啊，我是用EVIEWS做的。我是这样做的：先选择GMM/pdp估计方法，然后 ...

能告诉我怎么转成P值吗？

jessica-hf 发表于 2012-5-24 11:10
我已经知道了，那是统计量的值，可以通过eviews命令转换成P值！

如何转？

A simple application of the J-statistic is to test the validity of overidentifying restrictions Under the
null hypothesis that the overidentifying restrictions are satisfied, the J-statistic times the
number of regression observations is asymptotically with degrees of freedom equal to the
number of overidentifying restrictions. You can compute the test statistic as a named scalar
in EViews using the commands:
scalar overid=eq_gmm.@regobs*eq_gmm.@jstat
scalar overid_p=1-@cchisq(overid,3)
where EQ_GMM is the name of the equation containing the GMM estimates. The second
command computes the p-value of the test statistic as a named scalar OVERID_P. To view
the value of OVERID_P, double click on its name; the value will be displayed in the status
line at the bottom of the EViews window.

晒晒-oricha 发表于 2013-3-20 21:03
能告诉我怎么转成P值吗？

A simple application of the J-statistic is to test the validity of overidentifying restrictions Under the
null hypothesis that the overidentifying restrictions are satisfied, the J-statistic times the
number of regression observations is asymptotically with degrees of freedom equal to the
number of overidentifying restrictions. You can compute the test statistic as a named scalar
in EViews using the commands:
scalar overid=eq_gmm.@regobs*eq_gmm.@jstat
scalar overid_p=1-@cchisq(overid,3)
where EQ_GMM is the name of the equation containing the GMM estimates. The second
command computes the p-value of the test statistic as a named scalar OVERID_P. To view
the value of OVERID_P, double click on its name; the value will be displayed in the status
line at the bottom of the EViews window.

melissa513 发表于 2013-4-4 23:07
A simple application of the J-statistic is to test the validity of overidentifying restrictions Un ...

谢谢

melissa513 发表于 2013-4-4 23:05
A simple application of the J-statistic is to test the validity of overidentifying restrictions Un ...

n您好 请问scalar overid_p=1-@cchisq(overid,3)

中3代表的是自由度吗  是多余的工具变量吗？谢谢！

melissa513 发表于 2013-4-4 23:07
A simple application of the J-statistic is to test the validity of overidentifying restrictions Un ...

scalar overid_p=1-@cchisq(overid,3)
您好请问这里的3 是代表自由度吗？ 不同的情况是可以替换成其他数字哈
本文来自: 人大经济论坛 EViews专版 版，详细出处参考： https://bbs.pinggu.org/forum.php? ... amp;from^^uid=1596315

你好请问scalar overid_p=1-@cchisq(overid,3) 中的3 是指的自由度吗？

你好请问楼上 scalar overid_p=1-@cchisq(overid,3) 中的3 是指的自由度吗