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2009 Mar 30
0
pgmm (Blundell-Bond) sample needed)
...;, for ease of reproducibility. Same data are
available in Stata by 'use
"http://www.stata-press.com/data/r7/abdata.dta"'. The Stata dataset is
identical but for the variable names and the fact that in Stata you
have to generate logs beforehand (ugh!). I'm also adding the
'nomata' option to avoid complications, but this will be unnecessary on most
systems (not on mine...).
The system-GMM estimator (with robust SEs) in Stata is 'xtabond2 n
nL1, gmm(L.(n)) nomata robust' whose R equivalent is:
> sysmod<-pgmm( dynformula( log(emp) ~ 1, list(1)), data=EmplUK...
2009 Apr 01
0
回复： R-help Digest, Vol 73, Issue 32
...;, for ease of reproducibility. Same data are
available in Stata by 'use
"http://www.stata-press.com/data/r7/abdata.dta"'. The Stata dataset is
identical but for the variable names and the fact that in Stata you
have to generate logs beforehand (ugh!). I'm also adding the
'nomata' option to avoid complications, but this will be unnecessary on most
systems (not on mine...).
The system-GMM estimator (with robust SEs) in Stata is 'xtabond2 n
nL1, gmm(L.(n)) nomata robust' whose R equivalent is:
> sysmod<-pgmm( dynformula( log(emp) ~ 1, list(1)), data=EmplUK...