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<h2 title="Statdoc File Section 5.do" class="title">File Section 5.do</h2>
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<pre><span class="strong">/StataProgramFiles/Section 5.do <a href="../../StataProgramFiles/Section 5.do">open</a></span>
file:script:do</pre>
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<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
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<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
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<td class="colFirst">date</td>
<td class="colLast">Sun Jan 25 12:05:38 EST 2015</td>
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<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Variable Summary table, listing datasets and labels">
<caption><span><a name="variables"><!-- --></a>All commands</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" style="width:30px" scope="col">#</th>
<th class="colLast" width="100%" scope="col">content
<!-- <span style="float: right;"> <a title="Raw Source" onclick="toggle('rawframe');setIframeHeight('rawframe');">raw</a> -->
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</tr>
<tr class="cmd_comment altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="1" title="comment"><!-- -->
1</a> <a onclick='toggle("cmd_1195212552");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:${ind}em">
<span class="cmdcomment">********************************************************************************
// SECTION 5 GMM
********************************************************************************</span>
<div id="cmd_1195212552" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">********************************************************************************
// SECTION 5 GMM
********************************************************************************</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">comment</td>
<td class="colLast">********************************************************************************
// SECTION 5 GMM
********************************************************************************</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="6" title="comment"><!-- -->
6</a> <a onclick='toggle("cmd_1357931840");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:${ind}em">
<span class="cmdcomment">// Exercise 1 {Public spending in the US}</span>
<div id="cmd_1357931840" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// Exercise 1 {Public spending in the US}</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">comment</td>
<td class="colLast">// Exercise 1 {Public spending in the US}</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> **********************************************</div></td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="10" title="webuse"><!-- -->
10</a> <a onclick='toggle("cmd_-278871658");' title="webuse">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">webuse</span>
<span class="cmdparameters">"<a href="../tokens/e.html#expend">expend</a>.<a href="../tokens/d.html#dta">dta</a>"</span>
, <span class="cmdoptions"> <a href="../tokens/c.html#clear">clear</a></span>
<div id="cmd_-278871658" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">**********************************************
webuse "expend.dta", clear</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">webuse</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../tokens/c.html#clear">clear</a></td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast">"<a href="../tokens/e.html#expend">expend</a>.<a href="../tokens/d.html#dta">dta</a>"</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // 1. Regress by OLS</div></td>
</tr>
<tr class="cmd_estcmd rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="13" title="regress"><!-- -->
13</a> <a onclick='toggle("cmd_909012159");' title="regress">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">regress</span>
<span class="cmdparameters"><a href="../tokens/e.html#expend">expend</a> <a href="../tokens/a.html#aid">aid</a> <a href="../tokens/i.html#inc">inc</a> <a href="../tokens/p.html#pop">pop</a></span>
<div id="cmd_909012159" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// 1. Regress by OLS
regress expend aid inc pop</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">regress</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/e.html#expend">expend</a> <a href="../tokens/a.html#aid">aid</a> <a href="../tokens/i.html#inc">inc</a> <a href="../tokens/p.html#pop">pop</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="14" title="est"><!-- -->
14</a> <a onclick='toggle("cmd_-1794006284");' title="est">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/s.html#store">store</a> <a href="../tokens/o.html#ols">ols</a></span>
<div id="cmd_-1794006284" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">est store ols</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">est</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/s.html#store">store</a> <a href="../tokens/o.html#ols">ols</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // One step GMM</div></td>
</tr>
<tr class="cmd_other rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="16" title="gmm"><!-- -->
16</a> <a onclick='toggle("cmd_856656756");' title="gmm">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">gmm</span>
<span class="cmdparameters">(<a href="../tokens/e.html#expend">expend</a>-<a href="../tokens/b.html#b0">{b0}</a>-<a href="../tokens/b.html#b1aid">{b1}*aid</a>-<a href="../tokens/b.html#b2inc">{b2}*inc</a>-<a href="../tokens/b.html#b3pop">{b3}*pop</a>)</span>
, <span class="cmdoptions"> <a href="../files/_StataProgramFiles_Section 5.do.html#16">onestep</a> <a href="../tokens/i.html#instruments">instruments(</a><a href="../tokens/a.html#aid">aid</a> <a href="../tokens/p.html#pop">pop</a> <a href="../tokens/i.html#inc">inc</a>)</span>
<div id="cmd_856656756" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// One step GMM
gmm (expend-{b0}-{b1}*aid-{b2}*inc-{b3}*pop), onestep instruments(aid pop inc)</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">gmm</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../files/_StataProgramFiles_Section 5.do.html#16">onestep</a> <a href="../tokens/i.html#instruments">instruments(</a><a href="../tokens/a.html#aid">aid</a> <a href="../tokens/p.html#pop">pop</a> <a href="../tokens/i.html#inc">inc</a>)</td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast">(<a href="../tokens/e.html#expend">expend</a>-<a href="../tokens/b.html#b0">{b0}</a>-<a href="../tokens/b.html#b1aid">{b1}*aid</a>-<a href="../tokens/b.html#b2inc">{b2}*inc</a>-<a href="../tokens/b.html#b3pop">{b3}*pop</a>)</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="17" title="est"><!-- -->
17</a> <a onclick='toggle("cmd_978094907");' title="est">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/s.html#store">store</a> <a href="../tokens/g.html#gmm1">gmm1</a></span>
<div id="cmd_978094907" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">est store gmm1</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">est</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/s.html#store">store</a> <a href="../tokens/g.html#gmm1">gmm1</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // Two step GMM</div></td>
</tr>
<tr class="cmd_other rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="19" title="gmm"><!-- -->
19</a> <a onclick='toggle("cmd_-1586888732");' title="gmm">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">gmm</span>
<span class="cmdparameters">(<a href="../tokens/e.html#expend">expend</a>-<a href="../tokens/b.html#b0">{b0}</a>-<a href="../tokens/b.html#b1aid">{b1}*aid</a>-<a href="../tokens/b.html#b2inc">{b2}*inc</a>-<a href="../tokens/b.html#b3pop">{b3}*pop</a>)</span>
, <span class="cmdoptions"> <a href="../files/_StataProgramFiles_Section 5.do.html#19">twostep</a> <a href="../tokens/i.html#instruments">instruments</a> (<a href="../tokens/a.html#aid">aid</a> <a href="../tokens/p.html#pop">pop</a> <a href="../tokens/i.html#inc">inc</a>)</span>
<div id="cmd_-1586888732" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// Two step GMM
gmm (expend-{b0}-{b1}*aid-{b2}*inc-{b3}*pop), twostep instruments (aid pop inc)</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">gmm</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../files/_StataProgramFiles_Section 5.do.html#19">twostep</a> <a href="../tokens/i.html#instruments">instruments</a> (<a href="../tokens/a.html#aid">aid</a> <a href="../tokens/p.html#pop">pop</a> <a href="../tokens/i.html#inc">inc</a>)</td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast">(<a href="../tokens/e.html#expend">expend</a>-<a href="../tokens/b.html#b0">{b0}</a>-<a href="../tokens/b.html#b1aid">{b1}*aid</a>-<a href="../tokens/b.html#b2inc">{b2}*inc</a>-<a href="../tokens/b.html#b3pop">{b3}*pop</a>)</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="20" title="est"><!-- -->
20</a> <a onclick='toggle("cmd_1261459941");' title="est">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/s.html#store">store</a> <a href="../tokens/g.html#gmm2">gmm2</a></span>
<div id="cmd_1261459941" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">est store gmm2</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">est</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/s.html#store">store</a> <a href="../tokens/g.html#gmm2">gmm2</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // Compare results</div></td>
</tr>
<tr class="cmd_other rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="22" title="est"><!-- -->
22</a> <a onclick='toggle("cmd_-277145976");' title="est">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/t.html#table">table</a> <a href="../tokens/o.html#ols">ols</a> <a href="../tokens/g.html#gmm1">gmm1</a> <a href="../tokens/g.html#gmm2">gmm2</a></span>
, <span class="cmdoptions"> <a href="../tokens/s.html#se">se</a></span>
<div id="cmd_-277145976" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// Compare results
est table ols gmm1 gmm2, se</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">est</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../tokens/s.html#se">se</a></td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/t.html#table">table</a> <a href="../tokens/o.html#ols">ols</a> <a href="../tokens/g.html#gmm1">gmm1</a> <a href="../tokens/g.html#gmm2">gmm2</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="23" title="comment"><!-- -->
23</a> <a onclick='toggle("cmd_158253353");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcomment">* Note that all the coefficients are the same, but s.e. are different</span>
<div id="cmd_158253353" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">* Note that all the coefficients are the same, but s.e. are different</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
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<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
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<tbody>
<tr class="rowColor">
<td class="colFirst">comment</td>
<td class="colLast">* Note that all the coefficients are the same, but s.e. are different</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // 2. Regress with different instruments</div></td>
</tr>
<tr class="cmd_other rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="26" title="gmm"><!-- -->
26</a> <a onclick='toggle("cmd_182987723");' title="gmm">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">gmm</span>
<span class="cmdparameters">(<a href="../tokens/e.html#expend">expend</a>-<a href="../tokens/b.html#b0">{b0}</a>-<a href="../tokens/b.html#b1aid">{b1}*aid</a>-<a href="../tokens/b.html#b2inc">{b2}*inc</a>-<a href="../tokens/b.html#b3pop">{b3}*pop</a>)</span>
, <span class="cmdoptions"> <a href="../tokens/i.html#instruments">instruments</a> (<a href="../tokens/p.html#ps">ps</a> <a href="../tokens/p.html#pop">pop</a> <a href="../tokens/i.html#inc">inc</a>)</span>
<div id="cmd_182987723" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// 2. Regress with different instruments
gmm (expend-{b0}-{b1}*aid-{b2}*inc-{b3}*pop), instruments (ps pop inc)</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">gmm</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../tokens/i.html#instruments">instruments</a> (<a href="../tokens/p.html#ps">ps</a> <a href="../tokens/p.html#pop">pop</a> <a href="../tokens/i.html#inc">inc</a>)</td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast">(<a href="../tokens/e.html#expend">expend</a>-<a href="../tokens/b.html#b0">{b0}</a>-<a href="../tokens/b.html#b1aid">{b1}*aid</a>-<a href="../tokens/b.html#b2inc">{b2}*inc</a>-<a href="../tokens/b.html#b3pop">{b3}*pop</a>)</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="27" title="est"><!-- -->
27</a> <a onclick='toggle("cmd_-1012024410");' title="est">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/s.html#store">store</a> <a href="../tokens/g.html#gmminst">gmminst</a></span>
<div id="cmd_-1012024410" style="display:none">
<ul class="blockList">
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<pre class="wrap">est store gmminst</pre>
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</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">est</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/s.html#store">store</a> <a href="../tokens/g.html#gmminst">gmminst</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="28" title="comment"><!-- -->
28</a> <a onclick='toggle("cmd_1041246959");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcomment">// None of these coefficients are significant!</span>
<div id="cmd_1041246959" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// None of these coefficients are significant!</pre>
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<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">comment</td>
<td class="colLast">// None of these coefficients are significant!</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="30" title="est"><!-- -->
30</a> <a onclick='toggle("cmd_678496370");' title="est">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/t.html#table">table</a> <a href="../tokens/g.html#gmm1">gmm1</a> <a href="../tokens/g.html#gmm2">gmm2</a> <a href="../tokens/g.html#gmminst">gmminst</a></span>
, <span class="cmdoptions"> <a href="../tokens/s.html#se">se</a></span>
<div id="cmd_678496370" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">est table gmm1 gmm2 gmminst, se</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">est</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../tokens/s.html#se">se</a></td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/t.html#table">table</a> <a href="../tokens/g.html#gmm1">gmm1</a> <a href="../tokens/g.html#gmm2">gmm2</a> <a href="../tokens/g.html#gmminst">gmminst</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="33" title="comment"><!-- -->
33</a> <a onclick='toggle("cmd_1690625529");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcomment">**********************************************</span>
<div id="cmd_1690625529" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">**********************************************</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">comment</td>
<td class="colLast">**********************************************</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="36" title="comment"><!-- -->
36</a> <a onclick='toggle("cmd_-1719581053");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcomment">// Exercise 2 {Dow Jones Index Daily Returns}</span>
<div id="cmd_-1719581053" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// Exercise 2 {Dow Jones Index Daily Returns}</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">comment</td>
<td class="colLast">// Exercise 2 {Dow Jones Index Daily Returns}</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="39" title="comment"><!-- -->
39</a> <a onclick='toggle("cmd_-110782350");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcomment">**********************************************
// GMM FOR NORMALITY NOT COVERED IN LECTURE
**********************************************</span>
<div id="cmd_-110782350" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">**********************************************
// GMM FOR NORMALITY NOT COVERED IN LECTURE
**********************************************</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">comment</td>
<td class="colLast">**********************************************
// GMM FOR NORMALITY NOT COVERED IN LECTURE
**********************************************</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="44" title="comment"><!-- -->
44</a> <a onclick='toggle("cmd_1989656739");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcomment">**********************************************</span>
<div id="cmd_1989656739" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">**********************************************</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">comment</td>
<td class="colLast">**********************************************</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_comment rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="47" title="comment"><!-- -->
47</a> <a onclick='toggle("cmd_-1025743871");' title="comment">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcomment">// Exercise 3 {Estimating the Klein model by GMM}</span>
<div id="cmd_-1025743871" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// Exercise 3 {Estimating the Klein model by GMM}</pre>
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<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">comment</td>
<td class="colLast">// Exercise 3 {Estimating the Klein model by GMM}</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> **********************************************</div></td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="51" title="webuse"><!-- -->
51</a> <a onclick='toggle("cmd_332263176");' title="webuse">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">webuse</span>
<span class="cmdparameters">"<a href="../files/_StataProgramFiles_Section 5.do.html#51">klein</a>.<a href="../tokens/d.html#dta">dta</a>"</span>
, <span class="cmdoptions"> <a href="../tokens/c.html#clear">clear</a></span>
<div id="cmd_332263176" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">**********************************************
webuse "klein.dta", clear</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">webuse</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../tokens/c.html#clear">clear</a></td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast">"<a href="../files/_StataProgramFiles_Section 5.do.html#51">klein</a>.<a href="../tokens/d.html#dta">dta</a>"</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // 1. Estimate consumption equation // By OLS</div></td>
</tr>
<tr class="cmd_other rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="55" title="g"><!-- -->
55</a> <a onclick='toggle("cmd_-2135030285");' title="g">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">g</span>
<span class="cmdparameters">w = <a href="../files/_StataProgramFiles_Section 5.do.html#55">w1</a>+<a href="../files/_StataProgramFiles_Section 5.do.html#55">w2</a></span>
<div id="cmd_-2135030285" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">// 1. Estimate consumption equation
// By OLS
g w = w1+w2</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">g</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast">w = <a href="../files/_StataProgramFiles_Section 5.do.html#55">w1</a>+<a href="../files/_StataProgramFiles_Section 5.do.html#55">w2</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_estcmd altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="56" title="reg"><!-- -->
56</a> <a onclick='toggle("cmd_1557916289");' title="reg">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">reg</span>
<span class="cmdparameters"><a href="../tokens/c.html#cn">cn</a> p w <a href="../tokens/l.html#L1">L1</a>.p</span>
<div id="cmd_1557916289" style="display:none">
<ul class="blockList">
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<pre class="wrap">reg cn p w L1.p</pre>
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</ul>
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<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">reg</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/c.html#cn">cn</a> p w <a href="../tokens/l.html#L1">L1</a>.p</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr class="cmd_other rowColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="57" title="est"><!-- -->
57</a> <a onclick='toggle("cmd_1359340078");' title="est">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/s.html#store">store</a> <a href="../tokens/o.html#ols1">ols1</a></span>
<div id="cmd_1359340078" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap">est store ols1</pre>
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</ul>
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<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="rowColor">
<td class="colFirst">command</td>
<td class="colLast">est</td>
</tr>
<tr class="altColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast"><a href="../tokens/s.html#store">store</a> <a href="../tokens/o.html#ols1">ols1</a></td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
<tr>
<td class="colFirst" style="width:30px"></td>
<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // By GMM</div></td>
</tr>
<tr class="cmd_other altColor">
<td class="colFirst" style="width:30px;text-align:right;">
<a name="60" title="gmm"><!-- -->
60</a> <a onclick='toggle("cmd_836175965");' title="gmm">[+]</a>
</td>
<td class="colLast" style="padding-left:0em">
<span class="cmdcommand">gmm</span>
<span class="cmdparameters">(<a href="../tokens/c.html#cn">cn</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a1}*p</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a2}*w</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a3}*L1</a>.p-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a0}</a>)</span>
, <span class="cmdoptions"> <a href="../tokens/i.html#instruments">instruments</a> (p w <a href="../tokens/l.html#L1">L1</a>.p)</span>
<div id="cmd_836175965" style="display:none">
<ul class="blockList">
<li class="blockList">
<pre class="wrap"> // By GMM
gmm (cn-{a1}*p-{a2}*w-{a3}*L1.p-{a0}), instruments (p w L1.p)</pre>
</li>
</ul>
<table class="packageSummary" border="0" cellpadding="3" cellspacing="0" summary="Properties">
<caption><span><a name="properties"><!-- --></a>All properties</span><span class="tabEnd"> </span></caption>
<tr>
<th class="colFirst" scope="col">key</th>
<th class="colLast" scope="col">content</th>
</tr>
<tbody>
<tr class="altColor">
<td class="colFirst">command</td>
<td class="colLast">gmm</td>
</tr>
<tr class="rowColor">
<td class="colFirst">indent</td>
<td class="colLast">0</td>
</tr>
<tr class="altColor">
<td class="colFirst">options</td>
<td class="colLast"> <a href="../tokens/i.html#instruments">instruments</a> (p w <a href="../tokens/l.html#L1">L1</a>.p)</td>
</tr>
<tr class="rowColor">
<td class="colFirst">parameters</td>
<td class="colLast">(<a href="../tokens/c.html#cn">cn</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a1}*p</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a2}*w</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a3}*L1</a>.p-<a href="../files/_StataProgramFiles_Section 5.do.html#60">{a0}</a>)</td>
</tr>
</tbody>
</table>
<br>
</br>
</div>
</td>
</tr>
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<a name="61" title="est"><!-- -->
61</a> <a onclick='toggle("cmd_1587240672");' title="est">[+]</a>
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<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/s.html#store">store</a> <a href="../tokens/g.html#gmm1">gmm1</a></span>
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<a name="63" title="est"><!-- -->
63</a> <a onclick='toggle("cmd_-746477220");' title="est">[+]</a>
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<span class="cmdcommand">est</span>
<span class="cmdparameters"><a href="../tokens/t.html#table">table</a> <a href="../tokens/o.html#ols1">ols1</a> <a href="../tokens/g.html#gmm1">gmm1</a></span>
, <span class="cmdoptions"> <a href="../tokens/s.html#se">se</a> <a href="../tokens/t.html#title">title</a> ("<a href="../tokens/c.html#Comparison">Comparison</a> <a href="../tokens/o.html#of">of</a> <a href="../tokens/o.html#OLS">OLS</a> <a href="../tokens/a.html#and">and</a> <a href="../tokens/g.html#GMM">GMM</a> <a href="../tokens/e.html#estimates">estimates</a> <a href="../tokens/f.html#for">for</a> <a href="../files/_StataProgramFiles_Section 5.do.html#63">consumption</a> <a href="../tokens/e.html#equation">equation</a>")</span>
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<pre class="wrap">est table ols1 gmm1, se title ("Comparison of OLS and GMM estimates for consumption equation")</pre>
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64</a> <a onclick='toggle("cmd_-1183000681");' title="comment">[+]</a>
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<span class="cmdcomment">* Note that the estimated coefficients are the same, but standard errors are different.</span>
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<pre class="wrap">* Note that the estimated coefficients are the same, but standard errors are different.</pre>
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<td class="colLast">* Note that the estimated coefficients are the same, but standard errors are different.</td>
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<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // 2. Estimate investment equation // By OLS</div></td>
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<a name="69" title="reg"><!-- -->
69</a> <a onclick='toggle("cmd_-1361035426");' title="reg">[+]</a>
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<span class="cmdcommand">reg</span>
<span class="cmdparameters">i p <a href="../tokens/l.html#L1">L1</a>.p <a href="../tokens/k.html#klag">klag</a></span>
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<pre class="wrap">// 2. Estimate investment equation
// By OLS
reg i p L1.p klag</pre>
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<td class="colLast">i p <a href="../tokens/l.html#L1">L1</a>.p <a href="../tokens/k.html#klag">klag</a></td>
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70</a> <a onclick='toggle("cmd_1984498223");' title="est">[+]</a>
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<span class="cmdcommand">est</span>
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<pre class="wrap">est store ols2</pre>
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<td class="colLast" style="padding-left:0em"><div class="cmd_comment"> // By GMM</div></td>
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<a name="73" title="gmm"><!-- -->
73</a> <a onclick='toggle("cmd_-1594576215");' title="gmm">[+]</a>
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<span class="cmdcommand">gmm</span>
<span class="cmdparameters">(i-<a href="../files/_StataProgramFiles_Section 5.do.html#73">{b1}*p</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#73">{b2}*L1</a>.p-<a href="../files/_StataProgramFiles_Section 5.do.html#73">{b3}*klag</a>-<a href="../tokens/b.html#b0">{b0}</a>)</span>
, <span class="cmdoptions"> <a href="../tokens/i.html#instruments">instruments</a> (p <a href="../tokens/l.html#L1">L1</a>.p <a href="../tokens/k.html#klag">klag</a>)</span>
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<pre class="wrap"> // By GMM
gmm (i-{b1}*p-{b2}*L1.p-{b3}*klag-{b0}), instruments (p L1.p klag)</pre>
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<td class="colFirst">parameters</td>
<td class="colLast">(i-<a href="../files/_StataProgramFiles_Section 5.do.html#73">{b1}*p</a>-<a href="../files/_StataProgramFiles_Section 5.do.html#73">{b2}*L1</a>.p-<a href="../files/_StataProgramFiles_Section 5.do.html#73">{b3}*klag</a>-<a href="../tokens/b.html#b0">{b0}</a>)</td>
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74</a> <a onclick='toggle("cmd_634569177");' title="est">[+]</a>
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<span class="cmdcommand">est</span>
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76</a> <a onclick='toggle("cmd_-1416607626");' title="est">[+]</a>
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<span class="cmdcommand">est</span>
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, <span class="cmdoptions"> <a href="../tokens/s.html#se">se</a> <a href="../tokens/t.html#title">title(</a>"<a href="../tokens/c.html#Comparison">Comparison</a> <a href="../tokens/o.html#of">of</a> <a href="../tokens/o.html#OLS">OLS</a> <a href="../tokens/a.html#and">and</a> <a href="../tokens/g.html#GMM">GMM</a> <a href="../tokens/e.html#estimates">estimates</a> <a href="../tokens/f.html#for">for</a> <a href="../files/_StataProgramFiles_Section 5.do.html#76">investment</a> <a href="../tokens/e.html#equation">equation</a>")</span>
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<pre class="wrap">est table ols2 gmm2, se title("Comparison of OLS and GMM estimates for investment equation")</pre>
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<span class="cmdcomment">* Note that the estimated coefficients are the same, but standard errors are different.</span>
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<pre class="wrap">* Note that the estimated coefficients are the same, but standard errors are different.</pre>
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<td class="colLast">* Note that the estimated coefficients are the same, but standard errors are different.</td>
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80</a> <a onclick='toggle("cmd_1424688522");' title="comment">[+]</a>
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<td class="colFirst">comment</td>
<td class="colLast">**********************************************</td>
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<span class="cmdcomment">// Exercise 4 {Level effects in United States Interest Rates}</span>
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<pre class="wrap">// Exercise 4 {Level effects in United States Interest Rates}</pre>
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<td class="colLast">// Exercise 4 {Level effects in United States Interest Rates}</td>
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87</a> <a onclick='toggle("cmd_-1031820330");' title="comment">[+]</a>
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<span class="cmdcomment">
/*
webuse "level.dta", clear
tsset datevec, monthly
gmm ///
(mat0-L1.mat0-{a}-{b}*L1.mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)*mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c})) ///
(((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c}))*L1.mat0), ///
instruments (mat1 L1.mat1) winitial(unadjusted, indep) wmatrix(robust)
*/</span>
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/*
webuse "level.dta", clear
tsset datevec, monthly
gmm ///
(mat0-L1.mat0-{a}-{b}*L1.mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)*mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c})) ///
(((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c}))*L1.mat0), ///
instruments (mat1 L1.mat1) winitial(unadjusted, indep) wmatrix(robust)
*/</pre>
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<td class="colFirst">comment</td>
<td class="colLast">
/*
webuse "level.dta", clear
tsset datevec, monthly
gmm ///
(mat0-L1.mat0-{a}-{b}*L1.mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)*mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c})) ///
(((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c}))*L1.mat0), ///
instruments (mat1 L1.mat1) winitial(unadjusted, indep) wmatrix(robust)
*/</td>
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<td class="colFirst">comment</td>
<td class="colLast">// NOT COVERED IN LECTURE
**********************************************</td>
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<span class="cmdcomment">// Exercise 5 {Estimating Risk Aversion}</span>
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<td class="colLast">// Exercise 5 {Estimating Risk Aversion}</td>
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<span class="cmdparameters">"<a href="../files/_StataProgramFiles_Section 5.do.html#112">mehra</a>.<a href="../tokens/d.html#dta">dta</a>"</span>
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<td class="colLast">"<a href="../files/_StataProgramFiles_Section 5.do.html#112">mehra</a>.<a href="../tokens/d.html#dta">dta</a>"</td>
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<span class="cmdcommand">gmm</span>
<span class="cmdparameters">///
(<a href="../files/_StataProgramFiles_Section 5.do.html#114">{beta}*(</a>1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rc</a>)^(-<a href="../files/_StataProgramFiles_Section 5.do.html#114">{gamma}</a>)*(1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rb</a>)-1) ///
(<a href="../files/_StataProgramFiles_Section 5.do.html#114">{beta}*(</a>1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rc</a>)^(-<a href="../files/_StataProgramFiles_Section 5.do.html#114">{gamma}</a>)*(1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rs</a>)-1)</span>
, <span class="cmdoptions"> ///
<a href="../tokens/i.html#instruments">instruments(</a><a href="../files/_StataProgramFiles_Section 5.do.html#114">rc</a> <a href="../files/_StataProgramFiles_Section 5.do.html#114">rs</a>) <a href="../files/_StataProgramFiles_Section 5.do.html#114">wmatrix(</a><a href="../tokens/r.html#robust">robust</a>) <a href="../files/_StataProgramFiles_Section 5.do.html#114">winitial(</a><a href="../files/_StataProgramFiles_Section 5.do.html#114">identity</a>) <a href="../files/_StataProgramFiles_Section 5.do.html#114">nolog</a></span>
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<pre class="wrap">gmm ///
({beta}*(1+rc)^(-{gamma})*(1+rb)-1) ///
({beta}*(1+rc)^(-{gamma})*(1+rs)-1), ///
instruments(rc rs) wmatrix(robust) winitial(identity) nolog</pre>
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<td class="colLast"> ///
<a href="../tokens/i.html#instruments">instruments(</a><a href="../files/_StataProgramFiles_Section 5.do.html#114">rc</a> <a href="../files/_StataProgramFiles_Section 5.do.html#114">rs</a>) <a href="../files/_StataProgramFiles_Section 5.do.html#114">wmatrix(</a><a href="../tokens/r.html#robust">robust</a>) <a href="../files/_StataProgramFiles_Section 5.do.html#114">winitial(</a><a href="../files/_StataProgramFiles_Section 5.do.html#114">identity</a>) <a href="../files/_StataProgramFiles_Section 5.do.html#114">nolog</a></td>
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<td class="colLast">///
(<a href="../files/_StataProgramFiles_Section 5.do.html#114">{beta}*(</a>1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rc</a>)^(-<a href="../files/_StataProgramFiles_Section 5.do.html#114">{gamma}</a>)*(1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rb</a>)-1) ///
(<a href="../files/_StataProgramFiles_Section 5.do.html#114">{beta}*(</a>1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rc</a>)^(-<a href="../files/_StataProgramFiles_Section 5.do.html#114">{gamma}</a>)*(1+<a href="../files/_StataProgramFiles_Section 5.do.html#114">rs</a>)-1)</td>
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<span class="cmdcomment">// gamma is 7.35</span>
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<span class="cmdcomment">// Exercise 6 {Estimating C-CAPM by GMM}</span>
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<td class="colLast">// Exercise 6 {Estimating C-CAPM by GMM}</td>
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<pre>
********************************************************************************
// SECTION 5 GMM
********************************************************************************
// Exercise 1 {Public spending in the US}
**********************************************
webuse "expend.dta", clear
// 1. Regress by OLS
regress expend aid inc pop
est store ols
// One step GMM
gmm (expend-{b0}-{b1}*aid-{b2}*inc-{b3}*pop), onestep instruments(aid pop inc)
est store gmm1
// Two step GMM
gmm (expend-{b0}-{b1}*aid-{b2}*inc-{b3}*pop), twostep instruments (aid pop inc)
est store gmm2
// Compare results
est table ols gmm1 gmm2, se
* Note that all the coefficients are the same, but s.e. are different
// 2. Regress with different instruments
gmm (expend-{b0}-{b1}*aid-{b2}*inc-{b3}*pop), instruments (ps pop inc)
est store gmminst
// None of these coefficients are significant!
est table gmm1 gmm2 gmminst, se
**********************************************
// Exercise 2 {Dow Jones Index Daily Returns}
**********************************************
// GMM FOR NORMALITY NOT COVERED IN LECTURE
**********************************************
**********************************************
// Exercise 3 {Estimating the Klein model by GMM}
**********************************************
webuse "klein.dta", clear
// 1. Estimate consumption equation
// By OLS
g w = w1+w2
reg cn p w L1.p
est store ols1
// By GMM
gmm (cn-{a1}*p-{a2}*w-{a3}*L1.p-{a0}), instruments (p w L1.p)
est store gmm1
est table ols1 gmm1, se title ("Comparison of OLS and GMM estimates for consumption equation")
* Note that the estimated coefficients are the same, but standard errors are different.
// 2. Estimate investment equation
// By OLS
reg i p L1.p klag
est store ols2
// By GMM
gmm (i-{b1}*p-{b2}*L1.p-{b3}*klag-{b0}), instruments (p L1.p klag)
est store gmm2
est table ols2 gmm2, se title("Comparison of OLS and GMM estimates for investment equation")
* Note that the estimated coefficients are the same, but standard errors are different.
**********************************************
// Exercise 4 {Level effects in United States Interest Rates}
**********************************************
/*
webuse "level.dta", clear
tsset datevec, monthly
gmm ///
(mat0-L1.mat0-{a}-{b}*L1.mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)*mat0) ///
((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c})) ///
(((mat0-L1.mat0-{a}-{b}*L1.mat0)^2-{s}^2*L1.mat0^(2*{c}))*L1.mat0), ///
instruments (mat1 L1.mat1) winitial(unadjusted, indep) wmatrix(robust)
*/
// NOT COVERED IN LECTURE
**********************************************
**********************************************
// Exercise 5 {Estimating Risk Aversion}
**********************************************
webuse "mehra.dta", clear
gmm ///
({beta}*(1+rc)^(-{gamma})*(1+rb)-1) ///
({beta}*(1+rc)^(-{gamma})*(1+rs)-1), ///
instruments(rc rs) wmatrix(robust) winitial(identity) nolog
// gamma is 7.35
**********************************************
// Exercise 6 {Estimating C-CAPM by GMM}
**********************************************
// Data set is missing variables (real interest rate)
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