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st: GMM


From   "Markiewicz, Agnieska" <Agnieszka.Markiewicz@econ.kuleuven.ac.be>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: GMM
Date   Tue, 30 Nov 2004 11:21:21 +0100

Dear Statalister,

I want to estimate a semi-log wage equation in stata by GMM. The
dependent variable is obviously log wage. I have 3 explanatory
(exogenous) variables, 3 explanatory endogenous vars and 4 instruments.
I would like also to calculate the J statistic. Any ideas how to do that
in sata?

Regards

Aga

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Mark
Clatworthy
Sent: Monday, November 22, 2004 6:17 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: Obtaining p-values for bootstrapped ols coefficients

Using the following command in Stata 8:

bs "reg y x1 x2" "_b[x1] _b[x2]", reps(10000) 

we obtain the observed coefficients, bias, se and 95% confidence
interval by
default.  Although we can change the confidence interval (e.g. to 99%),
we would
ideally like to generate p-values based on the bootstrap statistics.
Does
anyone know if this can be done, and if so, how?

Many thanks

Mark Clatworthy
Cardiff University
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