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Re: st: wald test when I use GMM method in stata 11
From
Song Nhac <[email protected]>
To
[email protected]
Subject
Re: st: wald test when I use GMM method in stata 11
Date
Thu, 20 Jan 2011 19:49:47 +0100
Dear Austin,
Thank for your great help. It is perfect. Have a good day.
Song Nhac
On Thu, Jan 20, 2011 at 7:30 PM, Austin Nichols <[email protected]> wrote:
> Song Nhac <[email protected]> :
> Look at the coef vector first:
>
> sysuse auto, clear
> ren price y
> ren mpg a
> ren foreign b
> g aXb=a*b
> gmm (y:y-{c0}-{c1}*a-{c2}*b-{c3}*aXb), inst(a b aXb)
> mat li e(b)
> test [c2]_cons+[c3]_cons=0
> qui reg y a b aXb
> mat li e(b)
> test b+aXb=0
> qui reg y c.a##i.b
> mat li e(b)
> test 1.b+1.b#c.a=0
>
>
> On Thu, Jan 20, 2011 at 7:39 AM, Song Nhac <[email protected]> wrote:
>> Dear Statalist,
>>
>> I have a problem after doing GMM in Stata11- I would like to do a wald
>> test for 2 coefficient but it reports an error. Please see following:
>
>> test b + aXb = 0
>> regressor b not found
>> r(111);
>>
>> I tried it many times, but it alway says that regressor b not found. I
>> don't know what happens in this since I am not expert in STATA.
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