Nach GMM F test funtioniert nicht
Verfasst: Mo 5. Okt 2015, 10:15
HI,
ich möchte nach einer GMM Berechnung die gemeinsame Signifikanz testen mit "test". Allerdings kommt dann immer die Fehlermeldung, dass stata die Variablen nicht findet.
HIer meinen code:
gmm ( NZ_policy_rate - (1-{rhoNZ1}-{rhoNZ2})*({alphaNZ}+{betaNZ}* NZ_CPI_nplus12 + {gammaNZ}* NZ_output_gap_OECD2 +{zNZAU}*dif
> _au +{zNZUK}*dif_uk ) -{rhoNZ1}* NZ_policy_rate_01 -{rhoNZ2}* NZ_policy_rate_02 )if t>66, instruments ( dif_au_1 dif_au_2 dif
> _au_3 dif_au_4 NZ_policy_rate_01 NZ_policy_rate_02 NZ_policy_rate_03 NZ_policy_rate_04 NZ_output_gap_OECD2_01 NZ_output_gap_OE
> CD2_02 NZ_output_gap_OECD2_03 NZ_output_gap_OECD2_04 NZ_CPI_01 NZ_CPI_02 NZ_CPI_03 NZ_CPI_04 Dif_lnNZ_PPI_01 Dif_lnNZ_PPI_02 D
> if_lnNZ_PPI_03 Dif_lnNZ_PPI_04 dif_uk_1 dif_uk_2 dif_uk_3 dif_uk_4 )wmatrix(hac nw 4)
note: 6 missing values returned for equation 1 at initial values
Step 1
Iteration 0: GMM criterion Q(b) = 39.185246
Iteration 1: GMM criterion Q(b) = .18512752
Iteration 2: GMM criterion Q(b) = .14959265
Iteration 3: GMM criterion Q(b) = .11873385
Iteration 4: GMM criterion Q(b) = .08841913
Iteration 5: GMM criterion Q(b) = .07680906
Iteration 6: GMM criterion Q(b) = .07680906
Step 2
Iteration 0: GMM criterion Q(b) = .1655478
Iteration 1: GMM criterion Q(b) = .14721435
Iteration 2: GMM criterion Q(b) = .1470523
Iteration 3: GMM criterion Q(b) = .1470523 (backed up)
GMM estimation
Number of parameters = 7
Number of moments = 25
Initial weight matrix: Unadjusted Number of obs = 83
GMM weight matrix: HAC Bartlett 4
------------------------------------------------------------------------------
| HAC
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
/rhoNZ1 | 1.115449 .0547667 20.37 0.000 1.008108 1.222789
/rhoNZ2 | -.2321224 .0592599 -3.92 0.000 -.3482696 -.1159751
/alphaNZ | 3.658526 1.143406 3.20 0.001 1.417492 5.89956
/betaNZ | 1.077826 .4533802 2.38 0.017 .189217 1.966435
/gammaNZ | .5417348 .1898507 2.85 0.004 .1696342 .9138355
/zNZAU | 2.747393 7.852272 0.35 0.726 -12.64278 18.13756
/zNZUK | 9.606041 3.4654 2.77 0.006 2.813981 16.3981
------------------------------------------------------------------------------
HAC standard errors based on Bartlett kernel with 4 lags.
Instruments for equation 1: dif_au_1 dif_au_2 dif_au_3 dif_au_4 NZ_policy_rate_01 NZ_policy_rate_02 NZ_policy_rate_03
NZ_policy_rate_04 NZ_output_gap_OECD2_01 NZ_output_gap_OECD2_02 NZ_output_gap_OECD2_03 NZ_output_gap_OECD2_04 NZ_CPI_01
NZ_CPI_02 NZ_CPI_03 NZ_CPI_04 Dif_lnNZ_PPI_01 Dif_lnNZ_PPI_02 Dif_lnNZ_PPI_03 Dif_lnNZ_PPI_04 dif_uk_1 dif_uk_2 dif_uk_3
dif_uk_4 _cons
. test dif_au dif_uk
dif_au not found
Hat jemand eine idee?
Vielen Dank!
LG Kiki
ich möchte nach einer GMM Berechnung die gemeinsame Signifikanz testen mit "test". Allerdings kommt dann immer die Fehlermeldung, dass stata die Variablen nicht findet.
HIer meinen code:
gmm ( NZ_policy_rate - (1-{rhoNZ1}-{rhoNZ2})*({alphaNZ}+{betaNZ}* NZ_CPI_nplus12 + {gammaNZ}* NZ_output_gap_OECD2 +{zNZAU}*dif
> _au +{zNZUK}*dif_uk ) -{rhoNZ1}* NZ_policy_rate_01 -{rhoNZ2}* NZ_policy_rate_02 )if t>66, instruments ( dif_au_1 dif_au_2 dif
> _au_3 dif_au_4 NZ_policy_rate_01 NZ_policy_rate_02 NZ_policy_rate_03 NZ_policy_rate_04 NZ_output_gap_OECD2_01 NZ_output_gap_OE
> CD2_02 NZ_output_gap_OECD2_03 NZ_output_gap_OECD2_04 NZ_CPI_01 NZ_CPI_02 NZ_CPI_03 NZ_CPI_04 Dif_lnNZ_PPI_01 Dif_lnNZ_PPI_02 D
> if_lnNZ_PPI_03 Dif_lnNZ_PPI_04 dif_uk_1 dif_uk_2 dif_uk_3 dif_uk_4 )wmatrix(hac nw 4)
note: 6 missing values returned for equation 1 at initial values
Step 1
Iteration 0: GMM criterion Q(b) = 39.185246
Iteration 1: GMM criterion Q(b) = .18512752
Iteration 2: GMM criterion Q(b) = .14959265
Iteration 3: GMM criterion Q(b) = .11873385
Iteration 4: GMM criterion Q(b) = .08841913
Iteration 5: GMM criterion Q(b) = .07680906
Iteration 6: GMM criterion Q(b) = .07680906
Step 2
Iteration 0: GMM criterion Q(b) = .1655478
Iteration 1: GMM criterion Q(b) = .14721435
Iteration 2: GMM criterion Q(b) = .1470523
Iteration 3: GMM criterion Q(b) = .1470523 (backed up)
GMM estimation
Number of parameters = 7
Number of moments = 25
Initial weight matrix: Unadjusted Number of obs = 83
GMM weight matrix: HAC Bartlett 4
------------------------------------------------------------------------------
| HAC
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
/rhoNZ1 | 1.115449 .0547667 20.37 0.000 1.008108 1.222789
/rhoNZ2 | -.2321224 .0592599 -3.92 0.000 -.3482696 -.1159751
/alphaNZ | 3.658526 1.143406 3.20 0.001 1.417492 5.89956
/betaNZ | 1.077826 .4533802 2.38 0.017 .189217 1.966435
/gammaNZ | .5417348 .1898507 2.85 0.004 .1696342 .9138355
/zNZAU | 2.747393 7.852272 0.35 0.726 -12.64278 18.13756
/zNZUK | 9.606041 3.4654 2.77 0.006 2.813981 16.3981
------------------------------------------------------------------------------
HAC standard errors based on Bartlett kernel with 4 lags.
Instruments for equation 1: dif_au_1 dif_au_2 dif_au_3 dif_au_4 NZ_policy_rate_01 NZ_policy_rate_02 NZ_policy_rate_03
NZ_policy_rate_04 NZ_output_gap_OECD2_01 NZ_output_gap_OECD2_02 NZ_output_gap_OECD2_03 NZ_output_gap_OECD2_04 NZ_CPI_01
NZ_CPI_02 NZ_CPI_03 NZ_CPI_04 Dif_lnNZ_PPI_01 Dif_lnNZ_PPI_02 Dif_lnNZ_PPI_03 Dif_lnNZ_PPI_04 dif_uk_1 dif_uk_2 dif_uk_3
dif_uk_4 _cons
. test dif_au dif_uk
dif_au not found
Hat jemand eine idee?
Vielen Dank!
LG Kiki