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 R2.
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.
Answer: B
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