09-23-2011 05:11 PM
I would like to carry out the Hansen's overidentifying restrictions test using PROC MODEL. I'm told that this test can be done in the GMM framework in PROC MODEL, and is computed as N*objective in the GMM estimation. I entered gmm in the FIT statement, and observed N*objective in the output. However, there is no probability to accept/reject the null hypothesis. Maybe I'm doing this the wrong way. Does anyone have the correct SAS codes to do this test?