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Re: st: Re: negative haumsan test statistics


From   Yee Kyoung Kim <icejean@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: negative haumsan test statistics
Date   Fri, 1 May 2009 21:57:17 +0900

it's xtabond2

YK

On Fri, May 1, 2009 at 8:53 PM, Martin Weiss <martin.weiss1@gmx.de> wrote:
> <>
>
> Which command generates the System GMM results?
>
>
> HTH
> Martin
> _______________________
> ----- Original Message ----- From: "Yee Kyoung Kim" <icejean@gmail.com>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Friday, May 01, 2009 1:33 PM
> Subject: Re: st: Re: negative haumsan test statistics
>
>
>> Dear Martin,
>>
>> Thank you for the reply.
>> I have not reversed the order.
>> System GMM is suppposed to be consistent.
>> Therefore, I did as below...
>>
>> Hausman gmm fe
>>
>> Does it mean that the gmm estimates are no longer consistent?
>>
>> I tried -suest- but GMM does not generate "score" that is required for
>> "predict". So, this doesn't help ...
>>
>> Thank you.
>>
>> YK
>> On Fri, May 1, 2009 at 7:48 PM, Martin Weiss <martin.weiss1@gmx.de> wrote:
>>>
>>> <>
>>>
>>> Are you sure you have respected the advice in the help file -h hausman-:
>>> "specify to hausman the models in the order "always consistent" first and
>>> "efficient under H0" second."?
>>>
>>> A reversal of the models reverses the sign of the test statistic...
>>>
>>> ****
>>> qui{
>>> webuse nlswork4, clear
>>> xtreg ln_wage age msp ttl_exp, fe
>>> estimates store fixed
>>> xtreg ln_wage age msp ttl_exp, re
>>> est store re
>>> }
>>>
>>> hausman fixed .
>>> //reversed
>>> hausman re fixed
>>> ****
>>>
>>> Apart from that, Stata offers you -suest- as a general alternative...
>>>
>>>
>>> HTH
>>> Martin
>>> _______________________
>>> ----- Original Message ----- From: "Yee Kyoung Kim" <icejean@gmail.com>
>>> To: <statalist@hsphsun2.harvard.edu>
>>> Sent: Friday, May 01, 2009 8:44 AM
>>> Subject: st: negative haumsan test statistics
>>>
>>>
>>>> Dear subscribers,
>>>>
>>>> I would like to test system GMM is consistent in comparison with FE.
>>>> For this purpose, I did "hausman gmm fe" and keep getting the negative
>>>> statistics.
>>>> Are there anybody to help me understand what is the problem?
>>>>
>>>> Thanks in advance.
>>>>
>>>> Best,
>>>>
>>>> YK
>>>>
>>>> --
>>>> Yee Kyoung Kim
>>>> Department of Economics
>>>> PhD candidate, Seoul National University, Seoul, Korea
>>>> (Phone) 016-595-6148
>>>> *
>>>> * For searches and help try:
>>>> * http://www.stata.com/help.cgi?search
>>>> * http://www.stata.com/support/statalist/faq
>>>> * http://www.ats.ucla.edu/stat/stata/
>>>>
>>>
>>> *
>>> * For searches and help try:
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>>> * http://www.stata.com/support/statalist/faq
>>> * http://www.ats.ucla.edu/stat/stata/
>>>
>>
>>
>>
>> --
>> Yee Kyoung Kim
>> Department of Economics
>> PhD candidate, Seoul National University, Seoul, Korea
>> (Phone) 016-595-6148
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
Yee Kyoung Kim
Department of Economics
PhD candidate, Seoul National University, Seoul, Korea
(Phone) 016-595-6148

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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