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楼主: cangcangzju
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14345
18
[资料] 请教在eviews中怎么做sargan检验 |
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学前班 50%
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回帖推荐Ho: z is exogeneous , Ha: not Ho
step 1 : run y on x (all x) by instrument variable method --> save residuals ui( IV hat )
step 2: run ui( IV hat ) on z --> save R^2
step3 : compute LM =n*R^2 ~X^2(m-k) [Chi-squared distribution with degree of freedom m-k]
where m is the number of instrument variables
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