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From |
John Antonakis <John.Antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: GMM error (bug in Stata?) |

Date |
Sat, 29 Oct 2011 18:56:08 +0200 |

Hi Stas: Thanks for your note.

clear set seed 123 set obs 1000 gen x = rnormal() gen z = rnormal() gen q = rnormal() gen y1 = x + z + q + rnormal() gen y2 = y1 + q + rnormal() gmm (eq1: y2 - {b1}*y1 - {b0}) /// (eq2: y2 - {c1}*y1 - {c0}), /// instruments(eq1: x) /// instruments(eq2: z) /// twostep winitial(unadjusted, indep) test [b1]_cons = [c1]_cons

So, it seems that I don't have an error in my initial code then? Best, J. __________________________________________ Prof. John Antonakis Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 29.10.2011 18:42, Stas Kolenikov wrote:

>> Hi: >>

>> two models separately, things work fine (see code on the bottom of my >> e-mail). However, when I run the models jointly, with the following >> code........... >> >> gmm ///

>> ///

>> /// >>

>> ///

>> /// >>

>> x_fe10 x_fe11 x_fe12 x_fe13 ) /// >>

>> /// >> x_clus8 x_clus9 x_clus10 x_clus11 x_clus12 x_clus13) /// >> >> twostep winitial(unadjusted, indep) vce(cluster lead_n) >> > John, are the main equations identical? That's a strange model to > estimate, then. At the very least, the orthogonality of residuals from > the first equation and from the second equations to the intercept > would imply identical moment conditions, and that would be enough for > GMM to break down. > * * 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/

**Follow-Ups**:**Re: st: GMM error (bug in Stata?)***From:*Stas Kolenikov <skolenik@gmail.com>

**References**:**st: GMM error (bug in Stata?)***From:*John Antonakis <John.Antonakis@unil.ch>

**Re: st: GMM error (bug in Stata?)***From:*Stas Kolenikov <skolenik@gmail.com>

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