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: pandyn
Description: Estimaties dynamic panel data model with GMM

Reference(s):

Usage: (output,beta)=pandyn(z,p,IVmeth {,T})
Input:
z Data input NT x {2}+1+k matrix
p Autoregressive order for dependent variable positive scalar
IVmeth Indicator for the Instruments scalar (0,1,...,4)
T Common time periods for balanced panel (optional) scalar
Output:
output Output table string
beta Coefficient estimates of 1st step GMM estimation (k+p) x 1 vector

Note:

Example:
z=read("dynpanel.dat")   ; read data set
{output,b}=pandyn(z,1,0) ; compute first step estimator
output                   ; print output
Result:

[ 1,] "====================================================="
[ 2,] "GMM-Estimation of 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 ]=          0.9591       0.0704        13.625"
[ 8,] "beta[ 2 ]=         -1.0949       0.0771       -14.203"
[ 9,] "Lag [ 1 ]=          0.7643       0.0490        15.609"
[10,] "====================================================="
[11,] "N*T=    375      N=   25      DF=    12              "
[12,] "R-square (including dummies):    0.9830              "
[13,] "Hansen's J-statistic (p-val):    0.1041              "
[14,] "Hausman test         (p-val):    0.5082              "
[15,] "Instruments according to method: 2                   "
[16,] "====================================================="

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 (000524)
(C) MD*TECH Method and Data Technologies, 17.8.2000