Hansen's J statistic for instrumental variables

[adnany]

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 

[sbxkoenk]

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...

Good luck,

Koen