Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: GMM moment errors
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: GMM moment errors
Date
Wed, 1 Dec 2010 07:41:43 -0500
On Wed, Dec 1, 2010 at 5:57 AM, nadir virk <[email protected]> wrote:
> Please can someone help me how to retrieve residuals (e) from the
> moment conditions in GMM setting! Can one also retrieve the weighting
> matrix (optimal weighting implied by the inverse of e'*e by Hansen
> (1982))!
> will be thankful for kindness!
The weight matrix is returned via -e(W)-, and the residuals are
returned by the -predict- command. Did you read the help file at all?
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/