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Re: st: Gmm and testing coefficients across equations


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Gmm and testing coefficients across equations
Date   Fri, 12 Aug 2011 09:52:06 -0400

You have parameters given explicit names, rather than formed from
equation names, as -gmm- does not know (and frankly does not care)
whether you have the linear form of your equations or not. So you
would be testing

test [b1]_cons == [c1]_cons

When in doubt, -matrix list e(b)- shows you the names of the coefficients.

On Fri, Aug 12, 2011 at 3:24 AM, Kanika Mahajan <kanika26@gmail.com> wrote:
> I am estimating a system 2sls model using gmm command in stata and
> after estimating the system of equations I want to test equality of
> coefficients of variables common in the two equations. e.g. the
> equations are:
>
> gmm (ldm: y1 - {b1}*x1 - {b2}*x2 - {b3}*x3 - {b0}) (ldf: y2 - {c1}*x1
> - {c2}*x2 - {c3}*x4 - {c0}), instruments(ldm: z1 z2 x3)
> instruments(ldf: z1 z2 x4) winitial(i) wmatrix(un,independent)
> vce(cluster m)
>
> test [ldm]x1 = [ldf]x1
>
> However, the above syntax returns an error: 'equation [ldm] not found'
> I am not able to figure out the problem with the syntax. Any
> suggestions to solve the above problem will be very helpful.

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