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 pandyn

Quantlet: 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
p Autoregressive order for dependent variable
IVmeth Indicator for the instruments. IVmeth = 0 lets the program choose the IV-method
beta (k+p) x 1 vector of coefficient estimates
T Common time periods for balanced panel (optional)
Output:
output Output table (string)

Note:

Example:

z=read("dynpanel.dat")   ; read data set

{output,b}=pandyn(z,1,0) ; compute first step

pandyn2(z,1,0,b)         ; computes the second step

Result:



[ 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 ]=          0.9811       0.2971         3.302"

[ 8,] "beta[ 2 ]=         -1.1420       0.2288        -4.991"

[ 9,] "Lag [ 1 ]=          0.8262       0.1035         7.983"

[10,] "====================================================="

[11,] "N*T=    375      N=   25      DF=     2              "

[12,] "R-square (differenced model):    0.5998              "

[13,] "Hansen's J-statistic (p-val):    0.0441 (0.9782)     "

[14,] "Instruments according to method: 1                   "

[15,] "====================================================="


Library: metrics
See also: panfix pandyn

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, 21.9.2000