-ivreg2- Hansen's J

[Cong Gu]

Dear statalists,

I have used the -ivreg2- to estimate the instrumental variables.

The code is: ivreg2 Y X2 X3 X4 X5 i.year i.industry (X1=Z), first cluster (firm_id)

However, the reported results do not show the overidentifying stats "Hansen's J". Meanwhile, I have also tried the endogtest(X1) code as below:

ivreg2 Y X2 X3 X4 X5 i.year i.industry (X1=Z), first cluster (firm_id) endogtest(X1)

But again, it does not report Hansen's J results.

Could you please show me how to obtain the value of Hansen's J chi2 and the P-value of Hasen's J stats for my case?

Many thanks in advance.

Best wishes,
Cong

[Cong Gu]

I have tried the endog code as well and it does not work either.

[Eric de Souza]

You do not have the Hansen J statistic because your model is exactly identified by construction.