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st: xtabond and Newey West D statistic


From   Ed Levitas <levitas@uwm.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtabond and Newey West D statistic
Date   Tue, 8 Feb 2005 14:15:34 -0600

Hello Statalisters,

I am using XTABOND2 and am interested in assessing the addition of a single
variable (i.e., comparing restricted and unrestricted models).  For GMM
estimators (e.g. Arellano-Bond), New and West (1987) develop a D statistic
(normalized different between restricted and unrestricted objective
functions) that (I believe) is appropriate for my case.   I however do not
know how to calculate this in STATA.  Does anyone have any suggestions?

Thanks in advance,
Ed


****************************************
Edward Levitas, PhD
Associate Professor
School of Business Administration
University of Wisconsin-Milwaukee
3202 N. Maryland Ave.
Milwaukee, WI  53211
ph: (414) 229-6825
fx: (414) 229-6957
levitas@uwm.edu

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