Library: | metrics |
See also: | panfix panrand panhaus |
Macro: | pandyn2 | |
Description: | 2nd Step of the 2-stage dynamic GMM |
Usage: | (output)=pandyn2(z,p,IVmeth,beta {,T}) | |
Input: | ||
z | NT x {2}+1+k matrix, data input | |
p | positive scalar, autoregressive order for dependent variable | |
IVmeth | scalar (0,1,...,4), indicator for the Instruments, setting IV-meth=0 lets program choose the IV-method | |
beta | (k+p) x 1 vector, coefficient estimates of the 1st step GMM estimation | |
T | scalar, common time periods for balanced panel (optional) | |
Output: | ||
output | string, output table |
library("metrics") z=read("dynpanel.dat") ; read data set {output,beta}=pandyn(z,1,1) pandyn2(z,1,1,beta) ; Unbalanced panel with 1 lag of the ; dependent variables, smallest set of ; instruments
Contents of output [ 1,] "=====================================================" [ 2,] "2-Stage-GMM for the Dynamic Fixed-Effect Model: " [ 3,] "y(i,t) = y(i,t-1)'gamma + x(i,t)'beta + a(i) + e(i,t)" [ 4,] "=====================================================" [ 5,] "PARAMETERS Estimate SE t-value" [ 6,] "=====================================================" [ 7,] "beta[ 1 ]= 0.9793 0.3045 3.216" [ 8,] "beta[ 2 ]= -1.1444 0.2417 -4.735" [ 9,] "Lag [ 1 ]= 0.8278 0.1199 6.905" [10,] "=====================================================" [11,] "N*T= 375 N= 25 DF= 2 " [12,] "R-square (Levels): 1.3680 " [13,] "Hansen's J-statistic (p-val): 0.9781 " [14,] "Instruments according to method: 1 " [15,] "====================================================="
Library: | metrics |
See also: | panfix panrand panhaus |