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st: lrtest and wald or chi2 statistics


From   oliazim <oliazim@yandex.ru>
To   statalist@hsphsun2.harvard.edu
Subject   st: lrtest and wald or chi2 statistics
Date   Sun, 12 Sep 2010 18:59:56 +0400

Dear Statalist members,
I need to compare 2 models: Conditional factor model for stock prices and Unconditional CAMP that only imploy World index as a benchmark and obtain Wald test chi2 statistics to compare errors of two models and prove the importance of additional factors. 
When i calculate parameters with gmm model along with panel data for 20 countries in Stata 11:
 
". gmm (Conditional: indexprem_c-{a0}-worldindex*{b1}-worldindex*cpi1*{b_cpi}-worldindex*prr1*{b_prr} -worldindex*woil_price1*{b_oil}), 
instruments(Conditional: worldindex cpi1 prr1 woil_price1) wmatrix(hac bartlett 1)"
and 
". gmm (Unconditional: indexprem_c-{a0}-worldindex*{b1}),  instruments(Unconditional: worldindex) wmatrix(hac bartlett 1)"

the program does not give me Wald or Chi2 statistic. After, when i try to make lrtest it gives me the error:

"lrtest ( Conditional) ( Unconditional)
Conditional does not contain scalar e ( l l )"

How can i get it or i need to change my models?
Olga
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