<>
Turn these things into permanent objects if you do need them...
**************
webuse docvisits, clear
tempname hdle
tempfile info
postfile `hdle' samplesize p chi2 /*
*/ df using `info'
foreach size in 100 1000 2000 3000 4000 `c(N)'{
gmm (docvis - exp({xb:private chronic /*
*/ female income} + {b0})) in 1/`size', /*
*/instruments(private chronic female age black/*
*/ hispanic) deriv(/xb = -1*exp({xb:} + {b0})) /*
*/deriv(/b0 = -1*exp({xb:} + {b0})) twostep nolog
estat overid
post `hdle' (`size') /*
*/ (r(J_p)) (r(J)) (r(J_df))
}
postclose `hdle'
preserve
use `info', clear
l, abbrev(12) noobs sep(0)
restore
**************
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of John Antonakis
Sent: Samstag, 19. September 2009 09:56
To: [email protected]
Subject: st: Simulation: return overidentifying statistics
Hi:
I would like to do a Monte Carlo to see how the Hansen J test behaves
when varying sample size.
I can't figure out how to return and simulate the chi-square, df, and
p-values for each run.
Best,
John.
--
____________________________________________________
Prof. John Antonakis
Associate Dean Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
Faculty page:
http://www.hec.unil.ch/people/jantonakis&cl=en
Personal page:
http://www.hec.unil.ch/jantonakis
____________________________________________________
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