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st: RE: Minimum Distance after System-GMM with xtabond2


From   "Nelson, Carl" <chnelson@illinois.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Minimum Distance after System-GMM with xtabond2
Date   Fri, 14 Jan 2011 09:18:41 -0600

Murod,

Yes you can test common factor restrictions with testnl. But you need to use minimum distance estimation to recover the structural coefficients. Mata optimization or Stata gmm can be used to obtain minimum distance estimates.

Carl Nelson
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Murod Aliyev [ma.statalist@yahoo.com]
Sent: Friday, January 14, 2011 3:06 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Minimum Distance after System-GMM with xtabond2

Sorry for resending my message, in the previous one I forgot to put subject...

Dear all,
I am estimating dynamic production function with Blundell and Bond 2000 model
(Econometric Reviews, 19(3), 321-340).
They test "common factor restrictions" using minimum distance (p.324).
I am using xtabond2 to do System-GMM.
Questions:
1) Is it valid to test common factor restrictions with Wald type test for
System-GMM estimates (using "testnl" which reports p-values based on the delta
method)?
2) If not, how do I test common factor restrictions using minimum distance on
STATA?

Thanks in advance!
Murod




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