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st: RE: lrtest and wald or chi2 statistics


From   "K Konstantaras" <dinokon@otenet.gr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: lrtest and wald or chi2 statistics
Date   Sun, 12 Sep 2010 18:40:03 +0300

The reason why you get this is because gmm does not involve maximum
likelihood estimation. Try user written qic command for xtgee, which
modifies fit statistics for quasi-likelihood estimation. Since you employ
panel data, xtgee may fit a wide variety of dependent variables and error
correlations.

I believe by: ssc install qic , you can download it.

Good luck

Konstantinos K.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of oliazim
Sent: Sunday, September 12, 2010 6:00 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: lrtest and wald or chi2 statistics

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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