linearmodels.system.results.GMMSystemResults.j_stat¶
- property GMMSystemResults.j_stat : WaldTestStatistic¶
J-test of overidentifying restrictions
Notes
The J statistic tests whether the moment conditions are sufficiently close to zero to indicate that the model is not overidentified. The statistic is defined as
\[n \bar{g}'W^{-1}\bar{g} \sim \chi^2_q\]where \(\bar{g}\) is the average of the moment conditional and \(W\) is a consistent estimator of the variance of \(\sqrt{n}\bar{g}\). The degree of freedom is \(q = n_{instr} - n_{endog}\).