I am afraid the new option introduced in post #689 was released prematurely. To properly compute (Windmeijer-corrected) standard errors and for some postestimation tests, knowing the first-step residuals is not enough. I have thus decided to replace the wmatrix(residuals) option by a new option called first(), which lets you specify the name of stored estimation results, so that xtdpdgmm can obtain all the information it needs. Please see the help file for details on the syntax of this new option.
The previous example now no longer works, but the following code serves the same purpose:
To update xtdpdgmm to version 2.7.2, as always type:
The previous example now no longer works, but the following code serves the same purpose:
Code:
webuse abdata xtdpdgmm L(0/1).n w k, gmm(L.n w k, lag(1 4) collapse model(diff)) vce(robust) estimates store diffgmm xtdpdgmm L(0/1).n w k, gmm(L.n w k, lag(1 4) collapse model(diff)) iv(L.n w k, diff) first(diffgmm) vce(robust)
Code:
net install xtdpdgmm, from(http://www.kripfganz.de/stata/) replace
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