Hansen's J statistic for instrumental variables

adnany — Thu, 18 Mar 2021 23:24:34 GMT

Dear SAS statistical procedures community members,

I am using instrumental variables in my model and want to get the Hansen's J statistic for my 1st stage regression to determine if the model is overidentified. Could you please guide me how I can do it in SAS?

I am using proc reg procedure for my regression.

Thanks,

Adnan

Re: Hansen's J statistic for instrumental variables

sbxkoenk — Fri, 19 Mar 2021 15:44:53 GMT

Hello,

Instrumental variables and multi-stage least squares regression should be dealt with in the econometric procedures of SAS/ETS. I would use SAS/ETS PROC MODEL (and NOT SAS/Stat PROC REG).

PROC MODEL contains Hansen’s J test statistic for Testing Overidentifying Restrictions.

Here's the PROC MODEL doc (SAS/ETS 15.2):

https://go.documentation.sas.com/?docsetId=etsug&docsetTarget=etsug_model_toc.htm&docsetVersion=15.2&locale=en

Good luck,

Koen

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Hansen's J statistic for instrumental variables

Re: Hansen's J statistic for instrumental variables