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From |
"Bley N'Dede" <ndedecb@tigermail.auburn.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
RE: RE: st: RE: GMM estimation: restricting parameter estimates |

Date |
Tue, 25 Jun 2013 19:08:59 +0000 |

Thank you very much Nick I did that but now, how do I get the standard errors and p-value for the variable v which is my variable of interest? Could you please tell me what procedure I can use to run a GMM including FIXED EFFECTS? I am not sure if the xtabond includes already fized effects. I am sorry for my questions. _______________________________________ From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Nick Cox [njcoxstata@gmail.com] Sent: Tuesday, June 25, 2013 5:20 PM To: statalist@hsphsun2.harvard.edu Subject: Re: RE: st: RE: GMM estimation: restricting parameter estimates Kit already told you how to do this. gmm (y-{b0} - {b1}*a-{b2}*k-{b3}*h+ (1 - {b2} - {b3})*v) Nick njcoxstata@gmail.com Cynthia a.k.a. Bley N'Dede > Thank you very much Kit; > I have tried to that before ut were not able to find the right way to set it up or the right command; Here is my original command for the gmm estimation (solow growth model): > method 1: gmm (y-{b0} - {b1}*a-{b2}*k-{b3}*h-{b4}*v), instruments(z1 z2 z3 z4 z5) > method 2: xtabond y a k h v lags(1) artests(2) > > now my question is how to put the constraints on the command above? also, is it possible to run a gmm estimation and fixed effects (FE) model? because tafter running the Hausman test, I found FE more appropriate. > > I have found the constrained regression but I am not familiar > constraint 1 _b[k] + _b[h] + _b[v] = 1 > cnsreg y a k h v, constraints (1) > > when using the above comments, all the coefficients sum up to one. But it's not a GMM estimation. > > How do I put a constraint on the parameters if I want to use a GMM estimation? > > Thanks for your help. > > Notes: I am using STATA 12 > Hausman test report FE more efficient behalf of Christopher Baum [kit.baum@bc.edu] On Jun 25, 2013, at 8:33 AM, Bley wrote: > >> I am trying to estimate a growth model using also gmm estimation. I would like to set the sum of three parameters equal to one. could you please help me in this matter. > > That one's easy. If b1 + b2 + b3 = 1, then you can only estimate two of them, and the third you substitute as (1 - b1 - b2). * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: RE: st: RE: GMM estimation: restricting parameter estimates***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**Re: RE: st: RE: GMM estimation: restricting parameter estimates***From:*Christopher Baum <kit.baum@bc.edu>

**RE: RE: st: RE: GMM estimation: restricting parameter estimates***From:*"Bley N'Dede" <ndedecb@tigermail.auburn.edu>

**Re: RE: st: RE: GMM estimation: restricting parameter estimates***From:*Nick Cox <njcoxstata@gmail.com>

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