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Re: st: gmm and a panel data set


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: gmm and a panel data set
Date   Fri, 24 Feb 2012 07:01:50 +0500

Try with another or subset of the main dataset which contains no less
number of missing values. The error message is indicative of such
problems. e.g. warning: 20398 missing values returned for equation 1
at initial values

On Fri, Feb 24, 2012 at 3:27 AM, Brian P. Poi <bpoi@stata.com> wrote:
>
> Marder, Andrew wrote:
>>
>> Dear Statalist,
>>
>> I am having some difficulty using the gmm command.  When I use the command
>> as follows:
>>
>> gmm (`moment_condition'), winitial(identity)
>> instruments(L.(`instruments'))
>>
>> The command is able to return some estimates.  I am unsure how valid these
>> estimates are because when I run the command treating my data as a panel:
>>
>> xtset firm_id year
>> gmm (`moment_condition'), winitial(xt L) xtinstruments(`instruments',
>> lags(1))
>>
>> I get the following error:
>>
>> warning: 20398 missing values returned for equation 1 at initial values
>>             gmm_xtZ_i():  3301  subscript invalid
>>           gmm_ABond_W():     -  function returned error
>>              _gmm_wrk():     -  function returned error
>>                 <istmt>:     -  function returned error
>> r(3301);
>>
>>> From what I've read this could be due to an unbalanced panel or missing
>>> data.  Taking a look at my data, it is both unbalanced and has missing data:
>>
>>
>> . tsset
>>       panel variable:  firm_id (unbalanced)
>>        time variable:  year, 1989 to 2009, but with gaps
>>                delta:  1 unit
>>
>> Do you have any knowledge of what is causing this error?  Any suggestions
>> on how to estimate a GMM model using a messy panel data set?
>>
>
>
> Regardless of how your data is -tsset-, you should not get those cryptic
> error messages from Mata.  That appears to be a bug in -gmm-.  If you send
> your dataset and do-file to me privately, I'd be happy to look into the
> problem and report back to statalist once I figure out what is causing it.
>
>
>    -- Brian Poi
>    -- bpoi@stata.com
>
>
>
> *
> *   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/



-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

*
*   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/


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