Ed,
If I'm not mistaken, the D statistic is what Hayashi calls a C statistic and
others call a "difference-in-Sargan" statistic. If so, how to implement
this with xtabond (or even better, xtabond2) has been discussed on the list.
Have a look at
http://www.stata.com/statalist/archive/2005-01/msg00142.html
and the associated thread.
Cheers,
Mark
Quoting Ed Levitas <[email protected]>:
> Hello Statalisters,
>
> I am using XTABOND2 and am interested in assessing the addition of a
> single
> variable (i.e., comparing restricted and unrestricted models). For
> GMM
> estimators (e.g. Arellano-Bond), New and West (1987) develop a D
> statistic
> (normalized different between restricted and unrestricted
> objective
> functions) that (I believe) is appropriate for my case. I however
> do not
> know how to calculate this in STATA. Does anyone have any
> suggestions?
>
> Thanks in advance,
> Ed
>
>
> ****************************************
> Edward Levitas, PhD
> Associate Professor
> School of Business Administration
> University of Wisconsin-Milwaukee
> 3202 N. Maryland Ave.
> Milwaukee, WI 53211
> ph: (414) 229-6825
> fx: (414) 229-6957
> [email protected]
>
> *
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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