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Re: st: GMM moment errors


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GMM moment errors
Date   Wed, 1 Dec 2010 07:41:43 -0500

On Wed, Dec 1, 2010 at 5:57 AM, nadir virk <nadirvirk@gmail.com> wrote:
> Please can someone help me how to retrieve residuals (e) from the
> moment conditions in GMM setting! Can one also retrieve the weighting
> matrix (optimal weighting implied by the inverse of e'*e by Hansen
> (1982))!
> will be thankful for kindness!

The weight matrix is returned via -e(W)-, and the residuals are
returned by the -predict- command. Did you read the help file at all?

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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