Hello Statalisters,
I am using XTABOND2 and am interested in assessing the addition of a single
variable (i.e., comparing restricted and unrestricted models). For GMM
estimators (e.g. Arellano-Bond), New and West (1987) develop a D statistic
(normalized different between restricted and unrestricted objective
functions) that (I believe) is appropriate for my case. I however do not
know how to calculate this in STATA. Does anyone have any suggestions?
Thanks in advance,
Ed
****************************************
Edward Levitas, PhD
Associate Professor
School of Business Administration
University of Wisconsin-Milwaukee
3202 N. Maryland Ave.
Milwaukee, WI 53211
ph: (414) 229-6825
fx: (414) 229-6957
[email protected]
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