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  • Using the Generalized Methods of Moments in a fixed panel regression

    Hello everyone,

    I am currently trying to replicate some parts of a certain section of a study.

    As you can see in the screenshot, the authors of the study are using a fixed effect panel regression with Newey West t-statistics and a Generalized Methods of Momentum methodology.

    Click image for larger version

Name:	Paper_Input.png
Views:	1
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ID:	1761818


    To be honest, I simply don't understand what exactly is being done here and how I could replicate it.

    After some YouTube videos and internet research, I have put together a code but I have no idea if it is remotely correct or what it should be according to the study.

    Code:
     eststo: xtabond2 COE L.COE numest_log eps_var_log2 log_bmr mv_log BETA financial_dummy health_dummy industrial_dummy it_tel_dummy oil_gas_dummy materials_dummy communication_dummy utility_dummy, robust nomata iv(numest_log eps_var_log2 log_bmr mv_log BETA financial_dummy health_dummy industrial_dummy it_tel_dummy oil_gas_dummy materials_dummy communication_dummy utility_dummy) gmm(L.COE, collapse)
    I would therefore be very grateful to receive feedback from you, the Statalist experts.

    Furthermore, I'm still a bit at a loss as to how I should integrate “Parzen Kernel” into my regression and what the lag truncation period is all about.

    As you can see, despite trying to understand this topic more deeply, I'm a bit clueless and therefore really hope that someone might have the time to help me out here.

    My data set is as follows (unlike the authors of the study, I don't have monthly but annual data and also not the variable "LogAdv").

    Thank you very, very much for your help and time! :-)

    Code:
    * Example generated by -dataex-. For more info, type help dataex
    clear
    input long gvkey float year double COE float(numest_log eps_var_log2 log_bmr mv_log) double BETA float(financial_dummy health_dummy industrial_dummy it_tel_dummy oil_gas_dummy materials_dummy communication_dummy utility_dummy)
    1004 1990  .11569511050331624  2.564949 -2.3348334    -.9342557  6.178898    .9436545650609853 0 0 1 0 0 0 0 0
    1004 1991   .0947519038516858   1.94591 -2.3318758   -.13809706   5.40481    .8891109190692763 0 0 1 0 0 0 0 0
    1004 1992    .133931969462166 2.1972246  -2.355887   -.13233471  5.414203    .5409403327833758 0 0 1 0 0 0 0 0
    1004 1994  .07527568886173618 1.3862944  -2.434267   -.26321068  5.507536   1.1318742730406166 0 0 1 0 0 0 0 0
    1004 1996  .13978987454795305  .6931472 -1.8791667    -.4655445  5.786772    .7252163101885479 0 0 1 0 0 0 0 0
    1004 1997  .10985216439260187 1.7917595 -1.9337573    -.7071649  6.302839   .14121229442238914 0 0 1 0 0 0 0 0
    1004 1998  .10398965566429046   1.94591 -2.1798522    -.9200186   6.62663     .143114102650287 0 0 1 0 0 0 0 0
    1004 1999  .14385813636288644 2.0794415  -2.510012     -.402745   6.18975   1.4366028835615292 0 0 1 0 0 0 0 0
    1004 2000  .12518857949478188   1.94591 -1.7138003    -.2779661  6.105484   -.3838136437298539 0 0 1 0 0 0 0 0
    1004 2001  .14262122938306038  1.609438 -1.4040314   -.01024713  5.839816   1.2239236018611588 0 0 1 0 0 0 0 0
    1004 2002   .1573445783032476 1.3862944          .   -.10109968   5.83843    2.285148026542574 0 0 1 0 0 0 0 0
    1004 2003  .26210550257692816  .6931472   1.496097     .8961419  4.790793    1.178547084600723 0 0 1 0 0 0 0 0
    1004 2005  .11284908728486749  .6931472  -1.443011     -.342193  6.093953   1.8951182279962606 0 0 1 0 0 0 0 0
    1004 2006  .11396280834207247  1.609438 -1.4999728    -.9040217  6.950725    1.925532867474237 0 0 1 0 0 0 0 0
    1004 2007  .11438750283477479 1.7917595 -2.1852164    -.7437672  6.946795   1.6799164320121585 0 0 1 0 0 0 0 0
    1004 2008   .1258444853876287 2.1972246   -2.55696    -.5914637  6.963511    1.604433003895082 0 0 1 0 0 0 0 0
    1004 2009  .11399196731916711 1.7917595 -1.9314246    .29801786  6.189507   .13304431298581354 0 0 1 0 0 0 0 0
    1004 2010  .12620601042681512 1.7917595  -2.520446   -.27160594  6.887545   1.0424035027103415 0 0 1 0 0 0 0 0
    1004 2011  .12131930864945605 2.0794415 -2.0850568   -.27710035  7.005544   1.6591538636523386 0 0 1 0 0 0 0 0
    1004 2012   .1291473524160021  1.609438  -2.819323     .1624773  6.599846   1.9928433448154659 0 0 1 0 0 0 0 0
    1004 2014  .08950006988132159 1.7917595  -2.830613  -.026734993   6.93399    .7275721203886343 0 0 1 0 0 0 0 0
    1004 2015  .10746945985733211 1.0986123  -1.991557   -.25216904  6.991624    .5595424764950154 0 0 1 0 0 0 0 0
    1004 2016  .17494142543700764 1.0986123  -2.992591    .07509492  6.688559   1.8929154208390084 0 0 1 0 0 0 0 0
    1004 2017  .10106304364024557 1.3862944 -2.2587075   -.23408765  7.052137  -.22842502508897322 0 0 1 0 0 0 0 0
    1004 2018  .12537379273149102  1.609438 -1.5833454    -.4919513  7.333887   .04997475749148961 0 0 1 0 0 0 0 0
    1004 2019   .1189471145439495  1.609438 -4.5912232    -.2218912   7.03082    .5628285400309845 0 0 1 0 0 0 0 0
    1013 1990  .11672515939366199  1.609438  -2.547674    -.6334388  5.531375   .44239398758902465 0 0 0 1 0 0 0 0
    1013 1991  .11582207249109565 1.7917595  -2.559306    -.8282942  5.893253    .5006035932839255 0 0 0 1 0 0 0 0
    1013 1992  .10285523325413803   1.94591 -1.6479275    -.9927508   6.19779   .15135284283877298 0 0 0 1 0 0 0 0
    1013 1993  .07560763089411056 2.0794415  -4.306287   -1.5163466  6.911764      .65255552362103 0 0 0 1 0 0 0 0
    1013 1994  .08024081099751627 2.0794415 -3.6207585   -1.5888326  7.167649      .45200050317639 0 0 0 1 0 0 0 0
    1013 1995  .07708737372207113 2.6390574  -3.366469    -1.559975  7.796082     2.46081965118654 0 0 0 1 0 0 0 0
    1013 1996  .08363286859583324  2.833213 -2.1367745   -1.7901318  8.215762   2.4067748487285283 0 0 0 1 0 0 0 0
    1013 1997  .09299462920656412  2.772589 -2.3053775   -1.8873193  8.508452    2.224676959518257 0 0 0 1 0 0 0 0
    1013 1998  .09674331114447204  2.944439  -2.524012   -1.1858009  8.004041   1.9528873843155306 0 0 0 1 0 0 0 0
    1013 1999  .08615899461732934  3.178054 -2.5246315   -1.4946547  8.624393   1.6284449793724294 0 0 0 1 0 0 0 0
    1013 2000  .06280187947242886  3.135494 -1.9691786    -2.381991 10.358827   1.7650942477622658 0 0 0 1 0 0 0 0
    1013 2001  .12508768517979146 3.0910425   1.585679    -.6031949  8.149324    .6205969078115522 0 0 0 1 0 0 0 0
    1013 2002  .23204950759185194  2.833213          .    -.3349179  6.930972   2.2154490668013627 0 0 0 1 0 0 0 0
    1013 2003  .10700883014789124  2.564949          .   -1.1774025  7.619465   2.0288568522389325 0 0 0 1 0 0 0 0
    1013 2005  .09719591940641188  2.564949  -1.957578   -1.1481098  7.799552   1.6901072460542488 0 0 0 1 0 0 0 0
    1013 2008  .12747068140640896 2.0794415 -1.5308704   -.22145754  7.039507   1.5467749556511197 0 0 0 1 0 0 0 0
    1034 1990  .13890562523178432  1.609438  -2.666962   -.59277165  5.302437    .4190576970098891 0 1 0 0 0 0 0 0
    1034 1991   .1089375671617383  1.609438  -2.761001   -1.1374539  5.873705  .004415339299541972 0 1 0 0 0 0 0 0
    1034 1992  .10857128664223611   1.94591 -1.5815158   -1.1571194  6.372734   1.9480313048113083 0 1 0 0 0 0 0 0
    1034 1993  .10309061906134001  1.609438 -1.3999205    -.6155403  5.834982   1.3806488097966005 0 1 0 0 0 0 0 0
    1034 1994  .11473864204328661  1.609438   -1.94533    -.7558243  5.955911    .7483068548696622 0 1 0 0 0 0 0 0
    1034 1995  .10597471886163756 1.7917595 -2.0444462    -.9297231   6.25366    .6660741359088765 0 1 0 0 0 0 0 0
    1034 1996  .16786315604336635 1.3862944 -1.2223247    -.3800593  5.606032    2.086055080137761 0 1 0 0 0 0 0 0
    1034 1997  .09879500222272992 1.7917595  -.8551437    -.8521484  6.326405   -.4680668405141933 0 1 0 0 0 0 0 0
    1034 1998  .10654457053435612  1.609438 -2.2779136   -1.0277097  6.616003   .44020670857129546 0 1 0 0 0 0 0 0
    1034 1999  .11134101320110476   1.94591  -2.343928   -1.0854635  6.948905   1.3629821009230951 0 1 0 0 0 0 0 0
    1034 2001  .11818401981554387   1.94591 -1.5934393    -.3197878  7.112823  -.43786874744480075 0 1 0 0 0 0 0 0
    1034 2002   .1748375941874456   1.94591 -2.2435074     .7198991  6.189698   .29687580221450777 0 1 0 0 0 0 0 0
    1034 2003   .1080443088481439 1.7917595  -1.889907    .17841254  6.853319    .5396737795749683 0 1 0 0 0 0 0 0
    1034 2004  .11363021528319688  1.609438 -1.5077482  -.013105717  6.797158   1.6919821283517305 0 1 0 0 0 0 0 0
    1034 2005   .3783834513592917   1.94591  -.9512084    -.3826112  7.204894    .8513009753868169 0 1 0 0 0 0 0 0
    1034 2006  .09791337109879256 1.0986123 -3.4162226   -.27292898  6.857719    2.060180276879693 0 1 0 0 0 0 0 0
    1034 2007  .12082934826431035  1.609438 -1.8742098    -.2111711  6.805758 -.050888110402641226 0 1 0 0 0 0 0 0
    1036 1990  .23265879174139895 2.3025851   -1.42253     .3214195  5.459731    .9161154604100306 0 0 1 0 0 0 0 0
    1036 1994  .15599837272833186 2.0794415 -1.9629864   -.45774895  6.725314    .6527419459572087 0 0 1 0 0 0 0 0
    1036 1995  .13888557383925648  2.564949  -2.669557    -.3441227  6.770377   1.2026081965511786 0 0 1 0 0 0 0 0
    1036 1996  .12787951968643482 2.6390574  -2.874606   -.12758598  6.838463    .8305139401974588 0 0 1 0 0 0 0 0
    1036 1997  .11543633312199272   2.70805  -2.814011   -.24617255   7.03063     .961721956272518 0 0 1 0 0 0 0 0
    1036 1998  .13799480320101534  2.890372  -2.647814    .08017726  6.719192   1.6131963490453067 0 0 1 0 0 0 0 0
    1036 1999  .13475377772922156  2.484907  -3.310293     .1053496  6.718203  -.29198814326295786 0 0 1 0 0 0 0 0
    1038 1991   .1673410021361787 1.0986123          .   -.07299925 4.0308366    1.416776561733911 0 0 0 0 0 0 0 0
    1038 1992  .13871893008681863  .6931472 -.29631928    -.4449331   4.30955    .8564772018579083 0 0 0 0 0 0 0 0
    1038 1995  .12519014066190354  1.609438 -1.6039994    -.2126499  5.254273 -.018604237339796183 0 0 0 0 0 0 0 0
    1038 1998    .129875915749196  2.397895 -1.1324164   -1.4082974  6.337397   .33637127859718624 0 0 0 0 0 0 0 0
    1038 1999  .06277382969245943  2.484907          .    -1.272479  6.021446   1.5163264710337012 0 0 0 0 0 0 0 0
    1038 2003  .24632826906980868 2.3025851          .  -.026329413  5.702114   2.1411485590239296 0 0 0 0 0 0 0 0
    1038 2004  .11318000326149008  2.484907          .    -.7053444  6.341576   .06061392465022497 0 0 0 0 0 0 0 0
    1043 1990    .289995942233107  1.609438  .27685824     .6138171 4.5987573    .2904550376123349 0 0 1 0 0 0 0 0
    1045 2014   .2637191267345173  2.890372 -1.6822387   -2.6581914  10.26954  -.19343680748921752 0 0 1 0 0 0 0 0
    1045 2015   .0886114642529994   2.70805 -1.9673216    -1.633807  10.27056    .8913810612248785 0 0 1 0 0 0 0 0
    1045 2016  .11102382456103617   2.70805 -1.7217227   -1.6940576  9.932858   1.0982205372206566 0 0 1 0 0 0 0 0
    1045 2018  .16747897226897848   2.70805   -2.22689            .  9.690185   1.3513507338945858 0 0 1 0 0 0 0 0
    1050 2007  .10626416972168375  .6931472 -1.3480875   -1.6603962  5.372162    .3130419517204981 0 0 1 0 0 0 0 0
    1050 2009   .2629715768631911  .6931472  -.2215387    -.5176906  3.975898    .7974082397097232 0 0 1 0 0 0 0 0
    1050 2010  .15207120519312656  .6931472  -.5512632    -.8005587  4.360866    .7525761763880462 0 0 1 0 0 0 0 0
    1050 2011  .11854695903653659 1.0986123 -1.9269984    -.7060434  4.467011    .6902339203530635 0 0 1 0 0 0 0 0
    1050 2012  .11299446228731301 1.7917595 -2.3190649    -.8841786  5.011216    2.008207347961833 0 0 1 0 0 0 0 0
    1050 2013  .10040017671144842 1.0986123 -2.0655026    -.9746363   6.11282   1.3948836773745559 0 0 1 0 0 0 0 0
    1050 2014  .12407850879493948   1.94591 -3.4007165    -.7302367  5.929971   1.1377197073345027 0 0 1 0 0 0 0 0
    1050 2015    .159006392709823  1.609438  -3.049177   -.23513825  5.712242    .7350087022415841 0 0 1 0 0 0 0 0
    1050 2016  .11907417257848223  1.609438 -2.2889168    -.5761931  5.823648    .8340451829217125 0 0 1 0 0 0 0 0
    1050 2017  .14614115650986778 1.0986123 -1.2852643     -.485522  5.714323   2.1131369465693823 0 0 1 0 0 0 0 0
    1050 2018  .11620791499680516  .6931472 -1.7788675    -.3720232  5.556948  -.11597224085416298 0 0 1 0 0 0 0 0
    1054 1990   .1668641202771644  2.397895 -1.8239516     .0791782 4.6464825   1.2317232513190282 0 0 0 1 0 0 0 0
    1054 1991  .14081494777069736   1.94591   -.888824    .12700447  5.020217    .8888296076807507 0 0 0 1 0 0 0 0
    1054 1992   .1531019475036436 1.7917595  -1.112024    -.8654154  5.750518    2.084119936896682 0 0 0 1 0 0 0 0
    1055 1991  .09936492235781813 3.0445225 -2.1992874    -.8798026  6.522284    1.239771592075094 0 0 0 1 0 0 0 0
    1055 1992  .15003771564538554  3.433987 -2.3108873    -.3503527  6.245491       1.964057234884 0 0 0 1 0 0 0 0
    1055 1994  .17370431108276105 3.2580965   .4360391    -.4755046  6.366491   1.2757497902825539 0 0 0 1 0 0 0 0
    1055 1995   .2402608882003451  3.218876          .    -.7818865  6.354945    1.091111241995847 0 0 0 1 0 0 0 0
    1056 1997  .18932327517928277  .6931472  -1.914547    -.1847533 3.7412436   .28519435692959755 0 0 0 1 0 0 0 0
    1056 1998  .09734403497431367 1.7917595 -1.9087275    -1.000732  5.467054  -.16309810719625442 0 0 0 1 0 0 0 0
    1056 2000   .0899992517843142  1.609438 -1.1972414    -1.635548  6.943479    .4510183049517175 0 0 0 1 0 0 0 0
    1056 2002  .09732484281512764 2.1972246  -.9123055    -1.212619  6.732006   1.4691910211649821 0 0 0 1 0 0 0 0
    1056 2003  .13922620077956382 2.1972246 -1.0619732   -.22443083  5.778998     .919985211627397 0 0 0 1 0 0 0 0
    1056 2004  .10210512107016133 2.3025851 -1.6237646    -.7789294   6.83594   2.0331201959227188 0 0 0 1 0 0 0 0
    1056 2006    .093559164615018 2.0794415 -2.4286144    -.6659328  6.855572    2.081811337388052 0 0 0 1 0 0 0 0
    1065 1990  .23454831201488577  .6931472          .            .  3.863838   1.3572341166474182 0 0 0 1 0 0 0 0
    1072 1996   .1254144420503455  .6931472 -2.3431163   -1.3088524  7.745003    .5877027084396936 0 0 0 1 0 0 0 0
    1072 1998   .1177171045571111  1.609438 -1.0556917    -.7474585  7.493734     .900593975678127 0 0 0 1 0 0 0 0
    1072 1999  .09081802507700498  1.609438  -.9531263    -.4759504  7.198148     .591111120979909 0 0 0 1 0 0 0 0
    1072 2000  .08259944309422416 1.7917595  -.7056746   -1.6650953 8.5547085   1.0451427586073434 0 0 0 1 0 0 0 0
    1072 2001  .13995451650355772 1.3862944  .09000412    -.9311694   8.24774   2.4811191053552233 0 0 0 1 0 0 0 0
    1072 2002  .05300850529563265 1.7917595  -.8299264    -.8545429  8.151658   1.9294146901479154 0 0 0 1 0 0 0 0
    1072 2004  .08325721121041291 2.1972246  .23632006    -.7795054  8.014075   1.5629674966687035 0 0 0 1 0 0 0 0
    1072 2005 .061323427293120694  2.397895 -2.2735755    -.3321585  7.604037   1.9697984118481833 0 0 0 1 0 0 0 0
    1072 2007  .08359887763839152 2.1972246 -2.9043386   -.41672295  7.816292    .7607049586769661 0 0 0 1 0 0 0 0
    1072 2008  .10020779887013678   1.94591 -1.7640772   -.19758733  7.709304    .9349578865619602 0 0 0 1 0 0 0 0
    1072 2009  .09553307302519581 1.3862944 -2.1365876    .07190649  7.348525    .4371520437149469 0 0 0 1 0 0 0 0
    1072 2010  .24359635566737944 1.3862944 -1.4902028   -.11498874   7.61109    .6384772875738228 0 0 0 1 0 0 0 0
    1072 2011   .1023257135215237 1.3862944  -2.820955   -.26860017  7.889019     1.32025902124267 0 0 0 1 0 0 0 0
    1072 2012  .09080309469751027 1.0986123 -1.2974392   -.05110411   7.71063   1.1630992228160182 0 0 0 1 0 0 0 0
    1072 2013  .07707401814926024  .6931472  -2.810166    .02681446  7.560461   1.0423763512981823 0 0 0 1 0 0 0 0
    1072 2014  .09571995263502255 1.0986123  -1.942096   -.05958988  7.684055    .6916393197229243 0 0 0 1 0 0 0 0
    1072 2015   .1492898653407033  .6931472 -2.2027411   -.01984614  7.684645    .6195878145510523 0 0 0 1 0 0 0 0
    1072 2016  .07209468207058042  .6931472 -3.8128896    .12420978  7.561542    .7281896844484608 0 0 0 1 0 0 0 0
    1072 2017 .060381892101801796  .6931472  -3.843003    -.2048833  7.908558    .5069738443829606 0 0 0 1 0 0 0 0
    1072 2018  .10231503065300629  .6931472  -1.243246    -.2978098 8.0135765     .691954443137193 0 0 0 1 0 0 0 0
    1075 1990  .17657693590541473  2.564949 -1.4845345     .4363368  6.884815   2.3117787889349573 0 0 0 0 0 0 0 1
    1075 1991  .12799251052708271   2.70805  -2.499721     .1394505  7.050021   1.2083052035626898 0 0 0 0 0 0 0 1
    1075 1992  .11323092215213068   2.70805 -2.4084344    -.1625385    7.4635  -.11443272124709652 0 0 0 0 0 0 0 1
    1075 1993  .07867986140167466  2.944439  -3.197013   -.19803655  7.606264  -.02297689258550714 0 0 0 0 0 0 0 1
    1075 1994  .08307126862499341  2.995732  -3.759718    .08701043  7.395343   1.2595810968611958 0 0 0 0 0 0 0 1
    1075 1996  .08049895762894715 3.0445225  -3.868156    -.3158156  7.901768    .6829887845061704 0 0 0 0 0 0 0 1
    1075 1997  .09332024675864625  2.890372 -3.8250766    -.3760539  7.990581   .05214455459495653 0 0 0 0 0 0 0 1
    1075 1998  .08925521696077954  2.772589  -3.598947   -.54109573   8.22051   .03115509889185364 0 0 0 0 0 0 0 1
    1075 1999  .09023872548468187  2.772589   -3.97141     -.349309  8.048124   .25410427217495807 0 0 0 0 0 0 0 1
    1075 2001  .11692593181397065 2.6390574   -3.52815    -.3580498  8.181825    .3170395204952407 0 0 0 0 0 0 0 1
    1075 2002  .13808898380049647 2.0794415 -2.7761555   .032303464  7.863562   1.0571369542648574 0 0 0 0 0 0 0 1
    1075 2003  .10579657857080475  2.397895 -2.4081106   -.16502024  8.112974     .552873724789721 0 0 0 0 0 0 0 1
    1075 2004  .11681108541259108  2.397895  -3.431273   -.28223273  8.271859   .05704794501146011 0 0 0 0 0 0 0 1
    1075 2005  .08012773674227207 2.3025851 -2.8519454   -.18878807  8.327635    .6612633084725876 0 0 0 0 0 0 0 1
    1075 2006  .09412035096525556 2.1972246  -3.843472    -.3269919  8.471995    .7802439570703461 0 0 0 0 0 0 0 1
    1075 2007  .09019005611906485 1.7917595  -2.656693   -.13933879  8.308848   1.0784878709080106 0 0 0 0 0 0 0 1
    1075 2008   .0997467869300867 2.3025851  -3.121223    .07621418  8.068749   .33761039439716256 0 0 0 0 0 0 0 1
    1075 2009  .13534496009287839 2.1972246  -3.661043    .04287232  8.063675    .6206237432667618 0 0 0 0 0 0 0 1
    1075 2010  .06410257298028259  2.397895   -2.39195    -.1951308  8.406702   .46221224204896144 0 0 0 0 0 0 0 1
    1075 2011  .09217200197895126 2.6390574 -3.2812574    -.2645814  8.513071   .32238057509761797 0 0 0 0 0 0 0 1
    1075 2012  .06304752185610656  2.772589 -2.8303466    -.3806391  8.667867  -.14209913362292673 0 0 0 0 0 0 0 1
    1075 2013  .07677914852806059  2.890372  -3.856317    -.3864985  8.728021   1.3320870877246647 0 0 0 0 0 0 0 1
    1075 2014  .07770693173647128  2.772589  -4.872521    -.4422626  8.824207    .9822106785049226 0 0 0 0 0 0 0 1
    1075 2015  .07667263424534396  2.833213  -4.260721   -.43023825  8.860547  -.24328260889318223 0 0 0 0 0 0 0 1
    1075 2016  .07116982293453684  2.772589  -3.984818   -.56787854  9.045004  .045715774143682976 0 0 0 0 0 0 0 1
    1075 2017  .06859113122323278  2.564949 -3.5648446    -.6717877  9.190318   1.0709034816213896 0 0 0 0 0 0 0 1
    1075 2018  .07208312446296875   2.70805  -4.042501   -.56836164  9.129172   -.4437247314710057 0 0 0 0 0 0 0 1
    1076 1990  .14636885324280102  .6931472  -2.519163    .08932898  3.751799    .4035422894179597 1 0 0 0 0 0 0 0
    1076 1991  .08008175534722972  .6931472  -2.788183    .05319062  3.731499  .014265780796000174 1 0 0 0 0 0 0 0
    1076 1994  .12666558854527132  .6931472 -2.3825095    -.7152682  4.806776     .783562910124044 1 0 0 0 0 0 0 0
    1076 1995  .14075285020734823   1.94591   -2.55436    -.4633853   4.90546    .5979493396062828 1 0 0 0 0 0 0 0
    1076 1996  .11894778196708641 1.7917595 -2.7188075     -.978711  5.654666    .9064463562159557 1 0 0 0 0 0 0 0
    1076 1997  .10367260288467123 1.7917595  -2.977593   -1.0392785  5.796783   .27564007057080525 1 0 0 0 0 0 0 0
    1076 1998  .13012115594343668  1.609438  -2.931829   -.55916774  5.688303   1.3786125791968236 1 0 0 0 0 0 0 0
    1076 1999  .11136797059035264  1.609438 -2.5142975   -.51527244  5.728674    .6259176514495631 1 0 0 0 0 0 0 0
    1076 2000  .13918524377167057 1.3862944  -3.284766    -.4059302  5.746051    .8181761154470713 1 0 0 0 0 0 0 0
    1076 2002  .11618244723372742 1.3862944  -1.826347    -.5982695  6.235003    .2749520577830693 1 0 0 0 0 0 0 0
    1076 2003  .09211843716059154 1.7917595  -2.464953    -.7411888  6.510091    .3523784961190914 1 0 0 0 0 0 0 0
    1076 2005  .10989281080124637 1.7917595  -2.329388    -.7288054  6.802935    1.088984895824471 1 0 0 0 0 0 0 0
    1076 2006  .09656852592810754  1.609438  -2.334311    -.7080058   7.11656    .8912628455521711 1 0 0 0 0 0 0 0
    1076 2007  .10992333378610632 2.0794415  -2.907613    -.4479559  6.960266    .9659496845976613 1 0 0 0 0 0 0 0
    1076 2008  .11439762224089858 1.7917595  -3.123372    -.3675584  7.002906     .675946857231248 1 0 0 0 0 0 0 0
    1076 2009  .09687563446772568  2.397895 -2.5474694   -.17411846  6.962256   .48025662656834517 1 0 0 0 0 0 0 0
    1076 2010  .10982162483055347 2.0794415  -3.088788     -.432669  7.319626    2.133603829154167 1 0 0 0 0 0 0 0
    1076 2011  .09032401056106117  2.564949 -2.8055584    -.7288634  7.612894     .580724125997986 1 0 0 0 0 0 0 0
    1076 2012  .09310462418429213  2.484907  -3.141942    -.7201511   7.75553    .2268366480608446 1 0 0 0 0 0 0 0
    1076 2013  .09895233123104281  2.484907  -2.860958    -.5964513  7.635202   1.0349795198238385 1 0 0 0 0 0 0 0
    1076 2016  .11159713861440124   1.94591 -3.7435465    -.1753154  7.476192   1.1901772214015176 1 0 0 0 0 0 0 0
    1076 2018  .10797779165834243 2.0794415  -2.513167   -.58687365  8.060345    .5893429543443904 1 0 0 0 0 0 0 0
    1076 2019   .0946377952435136 2.1972246  -3.223671   -1.0569652  8.517029   1.7159935489927145 1 0 0 0 0 0 0 0
    1078 1990  .10096768136954665  3.433987  -4.666024   -1.8260484  9.775357    .6442448509967854 0 1 0 0 0 0 0 0
    1078 1991  .09023951154883526  3.433987  -7.221416     -2.05629  10.12813   .13746365545692377 0 1 0 0 0 0 0 0
    1078 1992    .095139239105792  3.433987  -7.366598   -1.9799755 10.095986   1.6696699958615306 0 1 0 0 0 0 0 0
    1078 1993  .10423168124900026  3.433987  -3.300398   -1.8469008  10.05619    .7024458940028583 0 1 0 0 0 0 0 0
    1078 1994  .09716247617625276  3.433987  -4.823288   -1.8163666  10.12269   .20991735536788644 0 1 0 0 0 0 0 0
    1078 1995  .09142918249142265  3.367296  -4.996657    -1.962585 10.351228   .40646692561735026 0 1 0 0 0 0 0 0
    1078 1996    .082980038292171  3.367296  -5.490454   -2.0984964 10.579063   .42601517293266283 0 1 0 0 0 0 0 0
    1078 1997  .07927794333829817 3.3322046  -6.154495    -2.237754 10.754683    1.093606633567005 0 1 0 0 0 0 0 0
    1078 1998  .07116730969747224  3.178054 -3.5112455   -2.5234044 11.073166    .7194271407829576 0 1 0 0 0 0 0 0
    1078 1999   .0818305727033608  3.218876  -3.480526   -2.1293392 11.042296   1.2336153399296552 0 1 0 0 0 0 0 0
    1078 2000  .07118367553975058 3.2580965  -5.245452   -2.2540028 11.073166  -.05000508375835437 0 1 0 0 0 0 0 0
    1078 2001  .07636390240811342  2.995732  -6.180863   -2.2072814 11.073166   -.4310956825844693 0 1 0 0 0 0 0 0
    1078 2002  .08184664074379398  2.890372  -3.159986   -1.8142947 11.073166     .027433965596541 0 1 0 0 0 0 0 0
    1078 2003  .08968837105180477  2.890372  -5.255829   -1.6294092 11.073166   1.0924837176040167 0 1 0 0 0 0 0 0
    1078 2004  .08800851515837499  2.564949    -3.3117   -1.5351986 11.073166    .2869436533803005 0 1 0 0 0 0 0 0
    1078 2005  .08413279869219438   2.70805  -6.182852   -1.5253595 11.073166  -.16411122054635957 0 1 0 0 0 0 0 0
    1078 2006  .08837102891391936  2.890372  -4.870368   -1.6480105 11.073166  -.11909817728759131 0 1 0 0 0 0 0 0
    1078 2007  .10062342610909042   2.70805 -3.4398174    -1.560605 11.073166     .748056875472227 0 1 0 0 0 0 0 0
    1078 2008  .10006888641156582   2.70805 -3.2074745   -1.5888485 11.073166    .1696906103677221 0 1 0 0 0 0 0 0
    1078 2009  .10695064348371072 2.6390574 -3.5270836   -1.2331693 11.073166   .18154820394821375 0 1 0 0 0 0 0 0
    1078 2010   .1097055133479676 3.0910425  -3.412559   -1.2658566 11.073166    .5307658550567487 0 1 0 0 0 0 0 0
    1078 2011  .10767047685945078  3.135494  -3.552594   -1.2416764 11.073166   .44453012479392223 0 1 0 0 0 0 0 0
    1078 2012  .08905102478796181  2.995732  -3.770139    -1.351915 11.073166   .20774922704507656 0 1 0 0 0 0 0 0
    1078 2013  .09335347060940247  3.178054    -.94675    -.8100157 10.943463   1.5213539209618858 0 1 0 0 0 0 0 0
    1078 2014  .08608182072525139 2.1972246 -3.5066204   -1.1163737 11.073166    1.040739184472634 0 1 0 0 0 0 0 0
    1078 2015  .08534098127588756 3.0445225  -4.249558   -1.1347619 11.073166    1.399160822978149 0 1 0 0 0 0 0 0
    1078 2016   .0850239885267176  2.890372 -4.5279083   -1.0346321 10.964664   1.9099528403618933 0 1 0 0 0 0 0 0
    1078 2017  .08462482820715772 3.0445225   -3.39327   -1.1185282 11.073166   1.1286066872388376 0 1 0 0 0 0 0 0
    1078 2018  .06825663344520753 3.0445225  -3.261344   -1.3775448 11.073166   1.1679510514212954 0 1 0 0 0 0 0 0
    1078 2019   .0679053179077998  2.995732 -3.4433064    -1.556076 11.073166    .6451102905344063 0 1 0 0 0 0 0 0
    1081 2004  .16060858336979342  2.833213          .   -.22335905   7.87221   1.6516013413837578 0 0 0 0 0 1 0 0
    1081 2005  .18059363224717326  2.890372          .     .3762961  7.215961    2.203756528753063 0 0 0 0 0 1 0 0
    1094 2012  .16054866338760387  .6931472  -1.859525    -.3667435  5.490726   1.4942194285964805 0 1 0 0 0 0 0 0
    1094 2013  .13880997553361202  .6931472  -1.840489    -.3968046  5.667956    .6251240495495679 0 1 0 0 0 0 0 0
    1094 2014  .09470546986181658  .6931472  -2.598813    -.9914339  6.444975    .5712470985340103 0 1 0 0 0 0 0 0
    1094 2016  .11040111315800209 1.3862944 -4.1806054    -.7795243  6.498005    .8361170516768133 0 1 0 0 0 0 0 0
    1094 2017  .17613015876383453 1.0986123 -2.1934795   -.16344287  6.167495   1.8635797872400202 0 1 0 0 0 0 0 0
    1095 1999  .07482455971568516 1.0986123   -.322979    -2.922719  6.369008    .7685110566582015 0 0 0 0 0 0 0 0
    1097 1990  .15784754946253343  .6931472  -1.795244   -.17753065  3.565913    .2870062496198172 1 0 0 0 0 0 0 0
    1097 1991  .14617778615535337  .6931472 -1.9107895    .14323878  3.328976   .34608307521554066 1 0 0 0 0 0 0 0
    1097 1994  .13979233943676683  .6931472  -2.703855   .035336148  3.602382    .2606713737795087 1 0 0 0 0 0 0 0
    1097 1995    .145032372708457  .6931472  -2.440321   -.03353871  3.660197    .7312425797416353 1 0 0 0 0 0 0 0
    1097 1996   .1116382804654272  .6931472 -4.4023995   -.12329412 4.0293393   .30717638164204153 1 0 0 0 0 0 0 0
    1097 1997  .11068875794160267 1.0986123 -2.9440475   -.42598385  4.104257    .5901310019128954 1 0 0 0 0 0 0 0
    1098 1990  .17348772196764156 1.0986123  -1.577234    .24175803 3.9185615   .40740855519442515 0 0 0 1 0 0 0 0
    1098 1993   .1261863985401523 1.0986123 -1.5651213   -.12299877 4.2370152   -.0807971195057137 0 0 0 1 0 0 0 0
    1098 1994  .13335593249613437  .6931472  -1.925705    -.8680406 4.2719674   1.6473112055124004 0 0 0 1 0 0 0 0
    1098 1995   .0979344521389434 1.0986123 -1.8344464    -.7364467  5.134223    .9731402523092952 0 0 0 1 0 0 0 0
    1104 2009  .12977909125243647  .6931472  -1.279688   -.07782537 3.2781706     .706101726304531 0 0 1 0 0 0 0 0
    1104 2016  .10021674754913751  .6931472   -2.79804    -.4548815  4.286128   2.0749792836864995 0 0 1 0 0 0 0 0
    1115 1994  .16098132412882574  .6931472 -1.6087965   -.31488115  4.627906    .8390035502487198 0 1 0 0 0 0 0 0
    1115 1995  .13625154846665039 1.0986123 -2.0169604   -1.0057831  5.421824     .685473695114663 0 1 0 0 0 0 0 0
    1115 1998  .12063032524523311 2.1972246  -2.548694    -1.394091  6.313356    .4816970476998007 0 1 0 0 0 0 0 0
    1115 1999  .20653381456070175 1.3862944 -.06279971    -.2996589  4.977271   .31361354566555666 0 1 0 0 0 0 0 0
    1128 1990   .1460060304938522 1.7917595   -2.64592   -.04125177  5.247985    .2425794698096151 0 0 1 0 0 0 0 0
    1128 1991  .12507021962324003  1.609438 -1.4517506   -.28934738  5.537397   .03262535465672303 0 0 1 0 0 0 0 0
    1128 1992  .14067467935092454 1.0986123  -2.214297    .04709253   5.25438    .6116948289902568 0 0 1 0 0 0 0 0
    1128 1993   .1219699023016948  .6931472 -2.3368232    -.2075009  5.599605    .9610498691194349 0 0 1 0 0 0 0 0
    1137 1990  .14085236202351098 1.3862944 -2.0819714    -.9110063  4.012764    .7148079909622506 0 0 1 0 0 0 0 0
    1137 1991   .1802067956627943 1.0986123 -1.6330633   -.58839756 3.8261735    1.447001730632425 0 0 1 0 0 0 0 0
    1137 1992  .19030053553309678 1.0986123 -2.2915392    -.7112147 4.1134114   .48358319402446426 0 0 1 0 0 0 0 0
    1137 1993  .11114536280059698 1.0986123  -2.234647    -.7570525 4.4078407   1.3321196095147398 0 0 1 0 0 0 0 0
    1137 1994   .1736469406972036  .6931472  -2.583796   -.37147605 4.2678776    2.415862304547076 0 0 1 0 0 0 0 0
    1138 1994   .1013074301012592 1.0986123 -1.7863405    -.8201433  4.317408    .8541539256748422 1 0 0 0 0 0 0 0
    1148 1990   .3799511170052223  .6931472  -.2377562     .7230974  3.658929    .8394647080917925 1 0 0 0 0 0 0 0
    1161 1990   .2178356821487342 3.0910425   .5771097      .690243  5.765378   .22334748337438884 0 0 0 1 0 0 0 0
    1161 1991   .1654782655193189  3.135494   -.894785    -.3131745  6.976717   .43845555133640207 0 0 0 1 0 0 0 0
    1161 1992  .15037056343981003  3.178054 -1.9119443    -.3298597  7.283262    .9083866065126341 0 0 0 1 0 0 0 0
    1161 1995   .1351659995783718  3.433987 -2.2528317   -.15661576  7.806369  -.02332577792562042 0 0 0 1 0 0 0 0
    1161 1996   .1714151196647663  3.295837  1.1278098   -.18880896  7.800591   1.4674541068565252 0 0 0 1 0 0 0 0
    1161 1997  .16565822909610411  3.218876 -.27122056    -.4766212  8.092187   .42765153332799644 0 0 0 1 0 0 0 0
    1161 1998  .20817584561483474  3.295837          .    -.4928834  8.096307    2.418565982921741 0 0 0 1 0 0 0 0
    1161 1999  .23862938886694604  3.135494          .    -.3974631  7.987948   1.4547778387463177 0 0 0 1 0 0 0 0
    1161 2000   .1473448872084933  2.890372 -1.0408591    -.8068721  8.868885   1.2915271211676413 0 0 0 1 0 0 0 0
    1161 2004   .0908989909444726 3.3322046 .017970016    -.7834515  8.793164   1.4645987684653838 0 0 0 1 0 0 0 0
    1161 2007  .19783344770421554  2.772589          .    -.9749357  8.977964    1.199689436592453 0 0 0 1 0 0 0 0
    1161 2008  .33395241916831137  2.833213          .            .  7.664581   1.5251819676053648 0 0 0 1 0 0 0 0
    end

  • #2
    HTML Code:
    https://www.stata.com/manuals/rgmm.pdf
    search newey

    Comment


    • #3
      Originally posted by George Ford View Post
      HTML Code:
      https://www.stata.com/manuals/rgmm.pdf
      search newey
      Hello George,

      thank you for your answer - I already tried to understand the methodoly using the manual. Unfortunately it did not work for me.

      Thus I am still looking for a more application-oriented solution.

      Have a nice day!

      Comment

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