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Re: st: wald test when I use GMM method in stata 11

From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: wald test when I use GMM method in stata 11
Date   Thu, 20 Jan 2011 13:30:39 -0500

Song Nhac <[email protected]> :
Look at the coef vector first:

sysuse auto, clear
ren price y
ren mpg a
ren foreign b
g aXb=a*b
gmm (y:y-{c0}-{c1}*a-{c2}*b-{c3}*aXb), inst(a b aXb)
mat li e(b)
test [c2]_cons+[c3]_cons=0
qui reg y a b aXb
mat li e(b)
test b+aXb=0
qui reg y c.a##i.b
mat li e(b)
test 1.b+1.b#c.a=0

On Thu, Jan 20, 2011 at 7:39 AM, Song Nhac <[email protected]> wrote:
> Dear Statalist,
> I have a problem after doing GMM in Stata11- I would like to do a wald
> test for 2 coefficient but it reports an error. Please see following:

> test b + aXb = 0
> regressor b not found
> r(111);
> I tried it many times, but it alway says that regressor b not found. I
> don't know what happens in this since I am not expert in STATA.
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