? ===============================================================
?
proc gmmchisq trace ndf ;
?
?   Procedure to compute the chisquared test for the 
? orthogonality conditions after GMM estimation.
? gmmchisq returns the value of the test-statistic in
? trace and the degrees of freedom (the number of over-
? identifying constraints) in ndf. Note that ndf is 
? computed from the actual rank of the covariance of
? the orthogonality conditions, so that any constraints
? which are not actually linearily independent at the 
? estimated parameter values will not be counted.  
?
  mat ndf=rank(@covoc)-nrow(@coef) ;
  set trace = @nob*@phi ;
  cdf(chisq,df=ndf) trace ;
  print @covu ;               ? Display the covariance of the
                              ? estimated u's, in addition.
endproc chisq ;
?
? ===============================================================