当然GMM 更有名的应用是在动态面板的估计上,我们可以使用 xtabond 估计动态面板。以 Stata 自带的数据 abdate.dta 为例,进行实验: webuse abdata,clear` `xtabond n L(0/1).w L(0/1).k, lags(1) noconstant vce(robust) 结果如下: Arellano-Bond dynamic panel-data estimation Number of obs = 751 ...
College Station, TX: StataCorp LLC. [2] Arellano, M., & Bover, O. (1995). Another look at the instrumental-variable estimation of error-components models. Journal of econometrics, 68(1), 29-51. 文章字数:627字1. 介绍GMM估计在经济和统计分析中的应用 GMM(Generalized Method of Moments)...
XTDPDGMM: new Stata command for efficient GMM estimation of linear (dynamic) panel models XTDPDGMM有teffects选项,可以自动添加相关的时间模拟。 XTDPDGMM:用于线性(动态)面板模型的有效GMM估计的新Stata命令 7 The coefficient of the lagged dependent variable is close to 1. This means that a large amount...
XTDPDGMM: new Stata command for efficient GMM estimation of linear (dynamic) panel models XTDPDGMM有teffects选项,可以自动添加相关的时间模拟。 XTDPDGMM:用于线性(动态)面板模型的有效GMM估计的新Stata命令 7 The coefficient of the lagged dependent variable is close to 1. This means that a large amount...
(sys-GMM) estimation. June 25, 2007: Stata 10 released with the newxtdpdsys command for sys-GMM estimation. Both xtabond and xtdpdsys are wrappers for the xtdpd command. March 2009: David Roodman’s “How to do xtabond2” article
41、 the better .In robust estimation Stata reports the Haiisen J statistic instead of the Saigan with the same null hypothesisThe Aiellaiio - Bond test for autoconelation lias a null hypothesis of no autoconelation and is applied to the diffeienced residuals. The test for AR (1) process...
Title gmm — Generalized method of moments estimation stata.com Description Remarks and examples Also see Menu Stored results Syntax Methods and formulas Options References Description gmm performs generalized method of moments (GMM) estimation. With the interactive version of the command, you enter the...
Stata 11 GMM 广义矩估计
3.STATA命令 (1)比较FE和RE sort code year (排序) tis year (时间变量是year) iis code (表示单位的是code) xtreg y x x2, fe(假设其中x是需要被工具的变量) est store fixed (在STATA里命令有变化,不再是HAUSMAN,SAVE了,这里的fixed实际上就是个变量名,用什么都行) ...
By default Stata also reports three additional tests: Sargan test, AR(1) and AR(2) tests. The Sargan test has a null“hytihpneosthruemsiesnotsf as a egxrougpenaoruTeshe”re.fore, the higher the p-value of the Sargan statistic the better. In robust estimation Stata reports the Hansen...