jessica-hf 发表于 2012-5-24 11:10 
我已经知道了，那是统计量的值，可以通过eviews命令转换成P值！
如何转？
A simple application of the J-statistic is to test the validity of overidentifying restrictions Under the
null hypothesis that the overidentifying restrictions are satisfied, the J-statistic times the
number of regression observations is asymptotically with degrees of freedom equal to the
number of overidentifying restrictions. You can compute the test statistic as a named scalar
in EViews using the commands:
scalar overid=eq_gmm.@regobs*eq_gmm.@jstat
scalar overid_p=1-@cchisq(overid,3)
where EQ_GMM is the name of the equation containing the GMM estimates. The second
command computes the p-value of the test statistic as a named scalar OVERID_P. To view
the value of OVERID_P, double click on its name; the value will be displayed in the status
line at the bottom of the EViews window.
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