Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: panfix panrand panhaus

Macro: pandyn2
Description: 2nd Step of the 2-stage dynamic GMM

Reference(s):

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

Note:

Example:
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         
Result:

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

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Joerg Breitung (990316)
(C) MD*TECH Method and Data Technologies, 17.8.2000