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st: lrtest and wald or chi2 statistics
From
oliazim <[email protected]>
To
[email protected]
Subject
st: lrtest and wald or chi2 statistics
Date
Sun, 12 Sep 2010 18:59:56 +0400
Dear Statalist members,
I need to compare 2 models: Conditional factor model for stock prices and Unconditional CAMP that only imploy World index as a benchmark and obtain Wald test chi2 statistics to compare errors of two models and prove the importance of additional factors.
When i calculate parameters with gmm model along with panel data for 20 countries in Stata 11:
". gmm (Conditional: indexprem_c-{a0}-worldindex*{b1}-worldindex*cpi1*{b_cpi}-worldindex*prr1*{b_prr} -worldindex*woil_price1*{b_oil}),
instruments(Conditional: worldindex cpi1 prr1 woil_price1) wmatrix(hac bartlett 1)"
and
". gmm (Unconditional: indexprem_c-{a0}-worldindex*{b1}), instruments(Unconditional: worldindex) wmatrix(hac bartlett 1)"
the program does not give me Wald or Chi2 statistic. After, when i try to make lrtest it gives me the error:
"lrtest ( Conditional) ( Unconditional)
Conditional does not contain scalar e ( l l )"
How can i get it or i need to change my models?
Olga
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