Hello everyone.
I am using xthenreg to estimate dynamic panel threshold regression. I notice that there is no post estimation test such as Hansen J-test which is important to test the validity of the instruments when using GMM. Any thoughts on how to perform the Hansen J-test when using xthenreg?
I am using xthenreg to estimate dynamic panel threshold regression. I notice that there is no post estimation test such as Hansen J-test which is important to test the validity of the instruments when using GMM. Any thoughts on how to perform the Hansen J-test when using xthenreg?
