J-statistics is used to test the hypothesis on significance of the regression model estimated using the instrumental variables method.
Value of J-statistics is calculated by the formula:
where:
e. Vector of regression model residuals.
s. Standard error of regression.
Z. Instrumental variables matrix.
T. Number of observations.
This value has the chi-squared distribution with the degree of freedom p-k, where k is the number of estimated coefficients, and p is the number of instrumental variables.
The null hypothesis on the coefficients equality to zero for all regressors is rejected if the probability is less than the significance level. One of standard significance levels (0.1, 0.05 or 0.01) is considered.
See also:
Library of Methods and Models | ISummaryStatistics.Jstat | ISummaryStatistics.ProbJstat