Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: xtabond and Newey West D statistic


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Ed Levitas <levitas@uwm.edu>
Subject   Re: st: xtabond and Newey West D statistic
Date   Tue, 08 Feb 2005 19:48:34 +0000 (GMT)

Ed,

If I'm not mistaken, the D statistic is what Hayashi calls a C statistic and
others call a "difference-in-Sargan" statistic.  If so, how to implement
this with xtabond (or even better, xtabond2) has been discussed on the list.
 Have a look at

http://www.stata.com/statalist/archive/2005-01/msg00142.html

and the associated thread.

Cheers,
Mark

Quoting Ed Levitas <levitas@uwm.edu>:

> 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
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
________________________________________________________________

DISCLAIMER:

This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index