Dear Mam, I don't know how to interpret the results of J statistic and Prob(J-Statistic) in difference GMM? J statistic value for my analysis is 19.99 Prob(J Statistic) is 0.45. Kindly guide me how to interpret. Thank you
Look at results- If J statistics is close to 1 and probability J statistics is far from 1 then the regression model is a good fit. This is how you can judge your regression model if you have employed GMM Model.
