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st: gmm iv poisson results interpretation


From   Conan Li <conanli12@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: gmm iv poisson results interpretation
Date   Wed, 20 Jun 2012 06:57:07 +0800

Hi Statalist,

I have developed a gmm poisson model with endogenous regressor based
on the multiplicative moment condition of Mullahy (1997), which was
mentioned in Stata Manual 11 (p592) as well. The result is as follow,
where Y is the dependent variable, D1 is an endogenous dummy regressor
instrumented by lag Z1-Z4, and X1-X6 are control variables. But I am
not sure how to interpret these coefficients, both dummy and
continuous variables. Is there some post-estimation comment I can use
to generate expected rate of change or casual odds ration? I am aware
of the syntax "lincom", but not sure how to use it. Thanks for the
help.

gmm (Y* exp(-{xb: D1 L.X1 L.X2 L.X3 L.X4 X5 X6}-{logeY0}) -
1),instrument(L.X1 L.X2 L.X3 L.X4 X5 X6 L.Z1 L.Z2 L.Z3 L.Z4)
wmatrix(cluster state) nolog

Final GMM criterion Q(b) =   .003674

GMM estimation

Number of parameters =   8
Number of moments    =  11
Initial weight matrix: Unadjusted                     Number of obs  =     600
GMM weight matrix:     Cluster (state)

                                (Std. Err. adjusted for 50 clusters in state)
------------------------------------------------------------------------------
            |               Robust
            |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   /xb_D1 |     2.345448   1.162855     2.02   0.044     .0662935    4.624602
 /xb_L_X1 |     .7823872   .5563346     1.41   0.160    -.3080086    1.872783
  /xb_L_X2|     .2165516   .5904272     0.37   0.714    -.9406644    1.373768
 /xb_L_X3 |    -.0889866    .209458    -0.42   0.671    -.4995167    .3215435
  /xb_L_X4|    -1.015556   .3447486    -2.95   0.003    -1.691251   -.3398612
    /xb_X5|     1.827603    .408699     4.47   0.000     1.026568    2.628639
   /xb_X6 |     .0000128   4.21e-06     3.05   0.002     4.58e-06    .0000211
  /logey0 |     2.188253   .5078113     4.31   0.000     1.192961    3.183545
------------------------------------------------------------------------------
Instruments for equation 1: L.X1 L.X2 L.X3 L.X4 X5 X6 L.Z1 L.Z2 L.Z3 L.Z4_cons

Conan
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