David STADELMANN
2007-Jun-06 14:10 UTC
[R] Sargan Test and Hansen J Statistc for Simultaneous Equation Model
Dear R Users, I am estimation a Simultaneous Equation Model with systemfit. Does anyone of you know how to do a Sargan Test for overidentifiaction and a Hansen J statistic for instrument adequacy. Is there a possibility in R to do a Hausman-Wu test for the exogeneity of specific variables? Do you know any other possibilities in R to perform similar tests (overidentification, instrument adequacy and exogeneity)? Thank you very much for your help. Yours David -- ################################################## David Stadelmann Lehrstuhl f?r Makro?konomie, Internationale Industrie- und Wachstumspolitik Universit? de Fribourg Bureau F410 Bd de P?rolles 90 CH-1700 Fribourg SCHWEIZ Tel: +41 (026) 300 93 82 Fax: +41 (026) 300 96 78 Mob (priv): +41 (076) 542 33 48 Email: david.stadelmann at unifr.ch Internet: http://www.unifr.ch/natoek Internet (priv): http://david.stadelmann-online.com