Re: st: Re: negative haumsan test statistics

["Martin Weiss" <martin.weiss1@gmx.de>]

<>

Which command generates the System GMM results?


HTH
Martin
_______________________
----- Original Message ----- 
From: "Yee Kyoung Kim" <icejean@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, May 01, 2009 1:33 PM
Subject: Re: st: Re: negative haumsan test statistics


> Dear Martin,
>
> Thank you for the reply.
> I have not reversed the order.
> System GMM is suppposed to be consistent.
> Therefore, I did as below...
>
> Hausman gmm fe
>
> Does it mean that the gmm estimates are no longer consistent?
>
> I tried -suest- but GMM does not generate "score" that is required for
> "predict". So, this doesn't help ...
>
> Thank you.
>
> YK
> On Fri, May 1, 2009 at 7:48 PM, Martin Weiss <martin.weiss1@gmx.de> wrote:
> > <>
> >
> > Are you sure you have respected the advice in the help file -h hausman-:
> > "specify to hausman the models in the order "always consistent" first and
> > "efficient under H0" second."?
> >
> > A reversal of the models reverses the sign of the test statistic...
> >
> > ****
> > qui{
> > webuse nlswork4, clear
> > xtreg ln_wage age msp ttl_exp, fe
> > estimates store fixed
> > xtreg ln_wage age msp ttl_exp, re
> > est store re
> > }
> >
> > hausman fixed .
> > //reversed
> > hausman re fixed
> > ****
> >
> > Apart from that, Stata offers you -suest- as a general alternative...
> >
> >
> > HTH
> > Martin
> > _______________________
> > ----- Original Message ----- From: "Yee Kyoung Kim" <icejean@gmail.com>
> > To: <statalist@hsphsun2.harvard.edu>
> > Sent: Friday, May 01, 2009 8:44 AM
> > Subject: st: negative haumsan test statistics
> >
> >
> > > Dear subscribers,
> > >
> > > I would like to test system GMM is consistent in comparison with FE.
> > > For this purpose, I did "hausman gmm fe" and keep getting the negative
> > > statistics.
> > > Are there anybody to help me understand what is the problem?
> > >
> > > Thanks in advance.
> > >
> > > Best,
> > >
> > > YK
> > >
> > > --
> > > Yee Kyoung Kim
> > > Department of Economics
> > > PhD candidate, Seoul National University, Seoul, Korea
> > > (Phone) 016-595-6148
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/help.cgi?search
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> > > * http://www.ats.ucla.edu/stat/stata/
> >
> > *
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> > * http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> Yee Kyoung Kim
> Department of Economics
> PhD candidate, Seoul National University, Seoul, Korea
> (Phone) 016-595-6148
>
> *
> *   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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