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st: -endog-test under xtivreg2: Jansen's J-stats


From   Ari Dothan <ari.dothan@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
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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