Dear Community,
When I run PVARSOC most of the models I get, reject Test of overidentifying restriction: Hansen's J chi2(4)
Can someone explain why and what should be the interpretation of this.
Best regards,
F
When I run PVARSOC most of the models I get, reject Test of overidentifying restriction: Hansen's J chi2(4)
Can someone explain why and what should be the interpretation of this.
Code:
pvarsoc ln_volume pos_sent_post , maxlag(7) pvaropts(instl(1/8) fod gmmstyle) exog(vix_index crypto_index stock_index gold_index google_trend_platform google_trend_ico)
Selection order criteria
Sample: 21686 - 22044 No. of obs = 14001
No. of panels = 39
Ave. no. of T = 359.000
+--------------------------------------------------------------------------+
| lag | CD J J pvalue MBIC MAIC MQIC |
|-------+------------------------------------------------------------------|
| 1 | .9299895 79.87037 6.38e-08 -149.2549 31.87037 -28.42795 |
| 2 | .9356752 85.38016 4.71e-10 -105.5575 45.38016 -4.868429 |
| 3 | .9385017 83.88767 3.29e-11 -68.86248 51.88767 11.68879 |
| 4 | .9337187 78.63608 7.51e-12 -35.92653 54.63608 24.48693 |
| 5 | .9352215 54.7151 5.02e-09 -21.65998 38.7151 18.61566 |
| 6 | .9558041 12.35852 .0148752 -25.82902 4.358518 -5.6912 |
+--------------------------------------------------------------------------+
F
