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Re: st: Small Sample Statistics


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Small Sample Statistics
Date   Mon, 08 Mar 2010 22:29:10 -0500

On Mar 8, 2010, at 1:24 PM, odongo kodongo wrote:

I'm conducting a multiple equation regression (system) through GMM. The
following few questions arise:
1. Can I be able to obtain small sample test statistics (t) rather than z?

Many e-class commands, such as -ivregress gmm- and -xtabond2-, support the -small- option. You'll need to look at the -help- for your specific (but unnamed) command to see if it too supports this option.


2. Is it possible to determine the following measures of fit for each
equation in the system? R squared? RMSE?

Depends on the way you specify your model (easy, for example, in a model that can be re-written in a recursive form), and the Stata commands you use.

In both cases, you really need to provide more information (including, most importantly, the exact Stata commands you are using), if you expect to get more specific help. Please (re-)read the Statalist FAQ for advice on how to ask questions that will better your chances of getting the intended response. The link to the FAQ is at the end of every message posted to Statalist (including this one.)

Best,
Mike

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