With the now available latest version 2.4.0, the correct computations have been restored for estat serial and estat hausman. Furthermore, a minor bug in option auxiliary has been fixed which was introduced in version 2.3.10.
As a major new feature, this latest version can now compute the continously-updating GMM estimator as an alternative to the two-step and iterated GMM estimators. Simply specify the new option cugmm. The CU-GMM estimator updates the weighting matrix simultaneously with the coefficient estimates while minimizing the objective function. This is in contrast to the iterated GMM estimator (of which the two-step estimator is a special case), which iterates back and forth between updating the coefficient estimates and the weighting matrix. As a technical comment: The CU-GMM objective function generally does not have a unique minimum. The estimator therefore can be sensitive to the choice of initial values. By default, xtdpdgmm uses the two-stage least squares estimates, ignoring any nonlinear moment conditions, as starting values for the numerical CU-GMM optimization. This seems to work fine.
The following example illustrates the CU-GMM estimator, and how the xtdpdgmm results can be replicated with ivreg2 (up to minor differences due to the numerical optimization):
Code:
. webuse abdata . xtdpdgmm L(0/1).n w k, gmm(L.n w k, l(1 4) c m(d)) iv(L.n w k, d) cu nofooter Generalized method of moments estimation Fitting full model: Continously updating: Iteration 0: f(b) = .22189289 Iteration 1: f(b) = .08073713 Iteration 2: f(b) = .07655265 Iteration 3: f(b) = .07646044 Iteration 4: f(b) = .07645679 Iteration 5: f(b) = .07645673 Group variable: id Number of obs = 891 Time variable: year Number of groups = 140 Moment conditions: linear = 16 Obs per group: min = 6 nonlinear = 0 avg = 6.364286 total = 16 max = 8 ------------------------------------------------------------------------------ n | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- n | L1. | .4342625 .1106959 3.92 0.000 .2173024 .6512225 | w | -2.153388 .3702817 -5.82 0.000 -2.879126 -1.427649 k | -.0054155 .1221615 -0.04 0.965 -.2448477 .2340166 _cons | 7.284639 1.123693 6.48 0.000 5.082241 9.487037 ------------------------------------------------------------------------------ . predict iv*, iv 1, model(diff): L1.L.n L2.L.n L3.L.n L4.L.n L1.w L2.w L3.w L4.w L1.k L2.k L3.k L4.k 2, model(level): D.L.n D.w D.k 3, model(level): _cons . ivreg2 n (L.n w k = iv*), cue cluster(id) nofooter Iteration 0: f(p) = 31.065005 (not concave) Iteration 1: f(p) = 27.307398 (not concave) Iteration 2: f(p) = 26.543788 (not concave) Iteration 3: f(p) = 25.047573 (not concave) Iteration 4: f(p) = 24.521102 (not concave) Iteration 5: f(p) = 24.107293 (not concave) Iteration 6: f(p) = 23.931765 (not concave) Iteration 7: f(p) = 23.746613 (not concave) Iteration 8: f(p) = 23.636564 Iteration 9: f(p) = 23.304181 (not concave) Iteration 10: f(p) = 23.241277 (not concave) Iteration 11: f(p) = 23.178503 (not concave) Iteration 12: f(p) = 23.125314 (not concave) Iteration 13: f(p) = 23.074408 Iteration 14: f(p) = 19.278726 Iteration 15: f(p) = 12.160385 (not concave) Iteration 16: f(p) = 11.700402 Iteration 17: f(p) = 11.03222 (not concave) Iteration 18: f(p) = 10.950583 (not concave) Iteration 19: f(p) = 10.907663 Iteration 20: f(p) = 10.800048 Iteration 21: f(p) = 10.704051 Iteration 22: f(p) = 10.703945 Iteration 23: f(p) = 10.703942 Iteration 24: f(p) = 10.703942 CUE estimation -------------- Estimates efficient for arbitrary heteroskedasticity and clustering on id Statistics robust to heteroskedasticity and clustering on id Number of clusters (id) = 140 Number of obs = 891 F( 3, 139) = 83.84 Prob > F = 0.0000 Total (centered) SS = 1601.042507 Centered R2 = 0.5099 Total (uncentered) SS = 2564.249196 Uncentered R2 = 0.6940 Residual SS = 784.7107633 Root MSE = .9385 ------------------------------------------------------------------------------ | Robust n | Coefficient std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- n | L1. | .4342987 .1003318 4.33 0.000 .2376521 .6309453 | w | -2.153233 .2986292 -7.21 0.000 -2.738535 -1.56793 k | -.0053816 .1162739 -0.05 0.963 -.2332742 .2225111 _cons | 7.284114 .8901409 8.18 0.000 5.539469 9.028758 ------------------------------------------------------------------------------
Code:
net install xtdpdgmm, from(http://www.kripfganz.de/stata) replace
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