As earlier advised, please specify the source of any user-written
commands you refer to.
Nick
[email protected]
Yee Kyoung Kim
it's xtabond2
On Fri, May 1, 2009 at 8:53 PM, Martin Weiss <[email protected]>
wrote:
>
> Which command generates the System GMM results?
Yee Kyoung Kim
>> Thank you for the reply.
>> I have not reversed the order.
>> System GMM is suppposed to be consistent.
>> Therefore, I did as below...
>>
>> Hausman gmm fe
>>
>> Does it mean that the gmm estimates are no longer consistent?
>>
>> I tried -suest- but GMM does not generate "score" that is required
for
>> "predict". So, this doesn't help ...
>> On Fri, May 1, 2009 at 7:48 PM, Martin Weiss <[email protected]>
>>> Are you sure you have respected the advice in the help file -h
hausman-:
>>> "specify to hausman the models in the order "always consistent"
first and
>>> "efficient under H0" second."?
>>>
>>> A reversal of the models reverses the sign of the test statistic...
>>>
>>> ****
>>> qui{
>>> webuse nlswork4, clear
>>> xtreg ln_wage age msp ttl_exp, fe
>>> estimates store fixed
>>> xtreg ln_wage age msp ttl_exp, re
>>> est store re
>>> }
>>>
>>> hausman fixed .
>>> //reversed
>>> hausman re fixed
>>> ****
>>>
>>> Apart from that, Stata offers you -suest- as a general
alternative...
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