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Re: st: gmm and a panel data set
From
Muhammad Anees <[email protected]>
To
[email protected]
Subject
Re: st: gmm and a panel data set
Date
Fri, 24 Feb 2012 07:01:50 +0500
Try with another or subset of the main dataset which contains no less
number of missing values. The error message is indicative of such
problems. e.g. warning: 20398 missing values returned for equation 1
at initial values
On Fri, Feb 24, 2012 at 3:27 AM, Brian P. Poi <[email protected]> wrote:
>
> Marder, Andrew wrote:
>>
>> Dear Statalist,
>>
>> I am having some difficulty using the gmm command. When I use the command
>> as follows:
>>
>> gmm (`moment_condition'), winitial(identity)
>> instruments(L.(`instruments'))
>>
>> The command is able to return some estimates. I am unsure how valid these
>> estimates are because when I run the command treating my data as a panel:
>>
>> xtset firm_id year
>> gmm (`moment_condition'), winitial(xt L) xtinstruments(`instruments',
>> lags(1))
>>
>> I get the following error:
>>
>> warning: 20398 missing values returned for equation 1 at initial values
>> gmm_xtZ_i(): 3301 subscript invalid
>> gmm_ABond_W(): - function returned error
>> _gmm_wrk(): - function returned error
>> <istmt>: - function returned error
>> r(3301);
>>
>>> From what I've read this could be due to an unbalanced panel or missing
>>> data. Taking a look at my data, it is both unbalanced and has missing data:
>>
>>
>> . tsset
>> panel variable: firm_id (unbalanced)
>> time variable: year, 1989 to 2009, but with gaps
>> delta: 1 unit
>>
>> Do you have any knowledge of what is causing this error? Any suggestions
>> on how to estimate a GMM model using a messy panel data set?
>>
>
>
> Regardless of how your data is -tsset-, you should not get those cryptic
> error messages from Mata. That appears to be a bug in -gmm-. If you send
> your dataset and do-file to me privately, I'd be happy to look into the
> problem and report back to statalist once I figure out what is causing it.
>
>
> -- Brian Poi
> -- [email protected]
>
>
>
> *
> * 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/
--
Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
* 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/