Re: st: RE: Simulation: return overidentifying statistics

[John Antonakis <john.antonakis@unil.ch>]

Hi Martin:

On the button; as usual.

(I have to find creative ways to thank you for your elegant solutions).

Thanks much.
J.

____________________________________________________

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
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____________________________________________________



On 19.09.2009 12:52, Martin Weiss wrote:
> <>
>
> If you do insist on a -program- to return the values:
>
>
>
>
> **************
> webuse docvisits, clear
>
> //drop it beforehand
> capt prog drop sim
>
> //define the program
> program define sim
>     version 10.1
>     syntax [, SAMplesize(integer 1000)]
>     //estimate 
> 		gmm (docvis - exp({xb:private chronic /*
> 		*/ female income} + {b0})) in 1/`samplesize', /*
> 		*/instruments(private chronic female age black/*
> 		*/ hispanic) deriv(/xb = -1*exp({xb:} + {b0})) /*
> 		*/deriv(/b0 = -1*exp({xb:} + {b0})) /*
> 		*/twostep nolog
> 		//test
> 		estat overid
> end
>
> //for sample sizes from 100 to 4000
> forv i=100(100)4000{
> 	qui sim, sam(`i')
> 	di in red _n(2) /*
> 	*/"Returned Values for `i' obs" 
> 	ret li
> }
> **************
>
>
> HTH
> Martin
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
> Sent: Samstag, 19. September 2009 09:56
> To: statalist@hsphsun2.harvard.edu
> 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.
>
>   
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