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st: RE: Minimum Distance after System-GMM with xtabond2
From
"Nelson, Carl" <[email protected]>
To
"[email protected]" <[email protected]>
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: [email protected] [[email protected]] On Behalf Of Murod Aliyev [[email protected]]
Sent: Friday, January 14, 2011 3:06 AM
To: [email protected]
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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