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  • how do we get the significance of Beta's

    Hi all,

    So I estimate the beta's using GMM in MATA.

    : void GMM_DL(todo,betas,crit,g,H)
    {
    PHI=st_data(.,("phi"))
    PHI_LAG=st_data(.,("phi_lag"))
    Z=st_data(.,(" lagloglab laglogmat logcapital "))
    X=st_data(.,(" logcapital logmaterials loglabor "))
    X=st_data(.,(" logcapital logmaterials loglabor "))
    X_lag=st_data(.,(" lagloglab laglogmat logcapital "))
    Y=st_data(.,(" logdeflatedrevenue "))
    QR_lag=st_data(.,(" logprevioustariff "))
    C=st_data(.,("const"))
    OMEGA=PHI-X*betas'
    OMEGA_lag=PHI_LAG-X_lag*betas'
    OMEGA_lag_pol=(C,OMEGA_lag,QR_lag)
    g_b = invsym(OMEGA_lag_pol'OMEGA_lag_pol)*OMEGA_lag_pol' OMEGA
    XI=OMEGA-OMEGA_lag_pol*g_b
    crit=(Z'XI)'(Z'XI)
    }


    : void DL()
    {
    S=optimize_init()
    optimize_init_evaluator(S, &GMM_DL())
    optimize_init_evaluatortype(S,"d0")
    optimize_init_technique(S, "nm")
    optimize_init_nmsimplexdeltas(S, 0.1)
    optimize_init_which(S,"min")
    optimize_init_params(S,(2,0.8,0.2))
    p=optimize(S)
    p
    st_matrix("beta_NP",p)
    }

    I save the matrix and get beta's.

    My question is: how do I get to know the significance and SD of the coefficients?. The matrix only shows the beta's.

    Thanks!
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