具体参见Stata corporation, 2001, STATA 7 Reference H-P, Stata Press 1,含义:“The null hypothesis is that the efficient estimator is a consistent and efficient estimator of the true parameters. If it is, there should be no systematic difference between the coefficients of the efficient estimator ...
所以做法应该是(STATA的命令): 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) xtreg y x x2, re hausman ...
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 ...
（在⾯板数据中使⽤⼯具变量，Stata提供了如下命令来执⾏2SLS:xtivreg depvar [varlist1] (varlist_2=varlist_iv) （选择项可以为fe，re等，表⽰固定效应、随机效应等。详见help xtivreg）如果存在内⽣解释变量，则应该选⽤⼯具变量，⼯具变量个数不少于⽅程中内⽣解释变量的个数。“恰好...
announced on Statalist. 2 Generalized method of moments estimation of linear dynamic panel data models 命令为xtdpdgmm,下载安装方法为: ssc install xtdpdgmmnet install xtdpdgmm, from(http://www.kripfganz.de/stata/) 命令语法格式为: xtdpdgmmdepvar[indepvars][if][in][, options] ...
在Stata输入以下命令,就可以进行对面板数据的GMM估计。 . ssc install ivreg2 (安装程序ivreg2 ) . ssc install ranktest (安装另外一个在运行ivreg2 时需要用到的辅助程序ranktest) . use "traffic.dta"(打开面板数据) . xtset panelvar timevar (设置面板变量及时间变量) ...
Moreover, the Two-step System-GMM estimation has been proven to be more efficient then the One-...
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...
在Stata输入以下命令,就可以进行对面板数据的GMM估计。 . ssc install ivreg2 (安装程序ivreg2 ) . ssc install ranktest (安装另外一个在运行ivreg2 时需要用到的辅助程序ranktest) . use 'traffic.dta'(打开面板数据) . xtset panelvar timevar (设置面板变量及时间变量) ...
XTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models xtivreg28 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. It is essentially ... ME Schaffer ...