Hello,
I need a nonlinear combinations of parameter estimates from two GMM models, call them model1 and GMM2.
I do the following:
gmm ($eq1-var1) ($eq2 - var2), winitial(identity) from(a 0.5 b 0.5)
estimates store model1
gmm ($eq3-var3) ($eq4 - var4) ($eq5 - var5) ($q6-var6), winitial(identity) from(c 0.5 d 0.5 e 0.5 f 0.5)
estimates store model2
suest model1 model2, vce(cluster clustervar)
at which point I get a message:
model1 was estimated with a nonstandard vce (robust)
r(322);
After suest, I would want the following:
nlcom (comb: [model1]_b[/a]/ [model2]_b[/d] )
I tried GMM's with various vce types, including "unadjusted", Stata always gives me the same error message, with the change that instead of vce (robust) it tells me whichever vce I used (e.g. vce (unadjusted)).
I also tried retrieving estimates without suest but it does not work.
Please let me know how can I do the above without Mata. I am very rusty in Mata and would strongly prefer to use the usual Stata language.
Many thanks,
Best wishes,
Nona
I need a nonlinear combinations of parameter estimates from two GMM models, call them model1 and GMM2.
I do the following:
gmm ($eq1-var1) ($eq2 - var2), winitial(identity) from(a 0.5 b 0.5)
estimates store model1
gmm ($eq3-var3) ($eq4 - var4) ($eq5 - var5) ($q6-var6), winitial(identity) from(c 0.5 d 0.5 e 0.5 f 0.5)
estimates store model2
suest model1 model2, vce(cluster clustervar)
at which point I get a message:
model1 was estimated with a nonstandard vce (robust)
r(322);
After suest, I would want the following:
nlcom (comb: [model1]_b[/a]/ [model2]_b[/d] )
I tried GMM's with various vce types, including "unadjusted", Stata always gives me the same error message, with the change that instead of vce (robust) it tells me whichever vce I used (e.g. vce (unadjusted)).
I also tried retrieving estimates without suest but it does not work.
Please let me know how can I do the above without Mata. I am very rusty in Mata and would strongly prefer to use the usual Stata language.
Many thanks,
Best wishes,
Nona
Comment