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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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Gmm and testing coefficients across equations***From:*Kanika Mahajan <kanika26@gmail.com>

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