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st: GMM (System-GMM)_testing for significant difference between coefficients estimated for two sub-sample groups


From   Surender Komera <[email protected]>
To   [email protected]
Subject   st: GMM (System-GMM)_testing for significant difference between coefficients estimated for two sub-sample groups
Date   Fri, 28 Mar 2014 18:41:25 +0530

I am trying to test for the significance of the difference between
coefficients estimated using the system GMM for two sub-sample groups.
The details are (stata code):

*Eq 1:
xtabond2 inc edu exp if young==1, gmmstyle(xxx xxx) ivstyle(xxx yyy)
nocons robust
*storing the estimates in A
est store A
*Eq 2:
xtabond2 inc edu exp if young==0, gmmstyle(xxx xxx) ivstyle(xxx yyy)
nocons robust
*storing the estimates in B
est store B
suest A B

** Here i am getting an error saying "A Model was estimated with a
nonstandard vce (robust)"

I appreciate your help in addressing the above issue. Kindly suggest
me if there is any other method i should be following to address this issue.

Thanks in advance.
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