To Calculate the J-Statistic You Regress the A $R ^ { 2 }$

question 2

Short Answer

To calculate the J-statistic you regress the a. squared values of the TSLS residuals on all exogenous variables and the instruments. The statistic is then the number of observations times the regression $R ^ { 2 }$
b. TSLS residuals on all exogenous variables and the instruments. You then multiply the homoskedasticity-only $F$ -statistic from that regression by the number of instruments.
c. OLS residuals from the reduced form on the instruments. The $F$ -statistic from this regression is the $J$ -statistic.
d. TSLS residuals on all exogenous variables and the instruments. You then multiply the heteroskedasticity-robust $F$ -statistic from that regression by the number of instruments.

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Definitions:

General Theory

In the context of economics, it often refers to Keynes's "The General Theory of Employment, Interest, and Money," which argues that aggregate demand is the primary driving force in an economy.

Increase Spending

A policy or action that leads to a higher level of expenditure by individuals, businesses, or the government to stimulate economic activity.

Depression

A prolonged period of significant economic downturn, marked by high unemployment, low output, and declining prices.

Aggregate Demand

The cumulative demand for goods and services within an economy, reflecting the total spendable money available at various price points.