The J-statistic
A)tells you if the instruments are exogenous.
B)provides you with a test of the hypothesis that the instruments are exogenous for the case of exact identification.
C)is distributed $\chi _ { m - k } ^ { 2 }$ where m-k is the degree of overidentification.
D)is distributed $\chi _ { m - k } ^ { 2 }$ where m-k is the number of instruments minus the number of regressors.

Question

Quizplus · Accepted Answer

The J-statistic is used in the context of overidentified models to test the validity of instruments, and it follows a chi-squared distribution with degrees of freedom equal to the number of overidentifying restrictions (m-k).

The J-Statistic A)tells You If the Instruments Are Exogenous χm−k2\chi _ { m - k } ^ { 2 }χm−k2​

The J-Statistic
A)tells You If the Instruments Are Exogenous $\chi _ { m - k } ^ { 2 }$