To Calculate the J-Statistic You Regress the

Multiple Choice

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.