I have been trying to run a GMM code but I don't know what's wrong with it because it doesn't work! I set below my data example, the code I am using, and the error message that Stata gives me every time I run the code. [CODE]
Note: I have too many variables so that using the "dataex" command in Stata doesn't work. Stata asks me to select fewer variables. I selected only the var that are included in my code then!
Code:
. dataex input statement exceeds linesize limit. Try specifying fewer variables r(1000);
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float(com phi epsilon phi_lag l_lag k_lag l_lag2 k_lag2 l_lagk_lag lk l_lagk lva y_c va_c alpha_l) int year float markt_ind 1 . . . . . . . . . . 2.792789 . . . 1990 12 1 17.60554 -.0974844 . . . . . . 101.50008 . 2.7643695 2.861854 17.493927 598157 1994 12 1 17.663496 -.14531818 17.60554 5.860786 17.318508 34.348816 299.93073 101.50008 102.48646 101.80706 2.7764525 2.921771 18.57415 578941.9 1995 12 1 17.689566 -.1132545 17.663496 5.899898 17.370888 34.808792 301.74774 102.48646 102.66798 102.71575 2.8021045 2.915359 18.455437 596292.06 1996 12 1 17.737486 -.08299164 17.689566 5.897154 17.409752 34.776424 303.09946 102.66798 103.16277 102.78385 2.796608 2.879599 17.807137 620410.1 1997 12 1 17.870161 -.03027034 17.737486 5.918894 17.4294 35.033302 303.78397 103.16277 104.30627 103.25966 2.790774 2.821044 16.794378 634415.4 1998 12 1 17.788733 .03749528 17.870161 5.978886 17.44577 35.747074 304.3549 104.30627 104.55385 104.91288 2.847206 2.809711 16.605118 650297.6 1999 12 1 17.884565 -.03831578 17.788733 5.958425 17.54723 35.502823 307.9053 104.55385 105.81186 105.22836 2.810671 2.848987 17.270275 661007.6 2000 12 1 17.967432 -.06480103 17.884565 5.991465 17.660433 35.897648 311.8909 105.81186 107.82575 106.17705 2.77633 2.841131 17.13513 719604.9 2001 12 1 17.909676 -.18381597 17.967432 6.084499 17.721384 37.021133 314.0475 107.82575 105.2437 107.75312 2.769219 2.953035 19.164026 613469.4 2002 12 1 17.90764 -.08896594 17.909676 5.9428 17.709448 35.316868 313.6245 105.2437 107.1805 105.08236 2.758906 2.8478715 17.251024 762702.9 2003 12 1 17.953201 -.12208369 17.90764 6.061457 17.682299 36.741264 312.6637 107.1805 108.12317 107.55337 2.730554 2.852638 17.333443 748188 2004 12 1 17.892786 -.13917208 17.953201 6.09357 17.743814 37.13159 314.843 108.12317 107.93797 107.85824 2.721144 2.860316 17.46705 766008.6 2005 12 1 17.942837 -.14148639 17.892786 6.098074 17.700336 37.186512 313.3019 107.93797 106.60307 107.666 2.736379 2.877865 17.776285 728916.3 2006 12 1 17.987103 -.10390857 17.942837 6.037871 17.655739 36.455883 311.7251 106.60307 105.07823 106.29584 2.786732 2.89064 18.004833 681463.3 2007 12 1 18.108057 -.1910118 17.987103 5.968708 17.604855 35.62547 309.9309 105.07823 104.51495 104.78644 2.77711 2.968122 19.45535 606006.56 2008 12 1 17.45102 -.4533427 18.108057 5.953243 17.555967 35.441105 308.212 104.51495 102.6487 104.16705 2.656362 3.1097045 22.41442 476689.3 2009 12 1 17.39038 -.4302138 17.45102 5.866468 17.49753 34.415447 306.1635 102.6487 99.03662 102.34637 2.714753 3.144967 23.218906 350733.5 2010 12 1 17.479313 -.3458163 17.39038 5.676754 17.445995 32.225536 304.36276 99.03662 95.41161 98.75083 2.848679 3.1944954 24.39786 418116.1 2011 12 1 17.279308 -.3324071 17.479313 5.484797 17.39565 30.083 302.60867 95.41161 95.24123 95.09793 2.851633 3.18404 24.144094 413602.3 2012 12 1 17.206064 -.3205327 17.279308 5.493062 17.338459 30.173725 300.62216 95.24123 93.19028 94.98853 2.8774486 3.197981 24.483057 338222 2013 12 1 17.163809 -.2937959 17.206064 5.389072 17.292456 29.042097 299.02902 93.19028 90.46423 93.00683 2.993029 3.286825 26.75777 346092.9 2014 12 2 16.970314 .1956449 . . . . . . 79.1171 . 2.923284 2.727639 15.296728 414186.7 1990 11 2 16.864801 .3439448 16.970314 5.53339 14.298125 30.6184 204.4364 79.1171 84.23546 83.7642 2.957535 2.6135905 13.647965 500342.3 1991 11 2 16.867336 .3416851 16.864801 5.56452 15.137955 30.963886 229.15767 84.23546 84.77357 84.59981 2.954488 2.612803 13.637222 569276.6 1992 11 2 16.988089 .2198996 16.867336 5.575949 15.203432 31.09121 231.14435 84.77357 83.97953 84.80827 2.950734 2.730834 15.345684 558420.94 1993 11 2 16.97816 .3379018 16.988089 5.521461 15.209657 30.48653 231.33366 83.97953 85.73739 84.78481 2.9623506 2.624449 13.796967 657649.4 1994 11 2 17.120811 .3738884 16.97816 5.583496 15.355503 31.17543 235.79147 85.73739 87.3779 86.04663 2.947929 2.574041 13.118726 834368.7 1995 11 2 17.175308 .3576192 17.120811 5.669881 15.410888 32.14755 237.49545 87.3779 89.25544 89.20128 2.954464 2.596845 13.421323 834693.3 1996 11 2 17.243544 .3249852 17.175308 5.673323 15.73248 32.186596 247.5109 89.25544 90.8883 90.83337 2.962983 2.6379974 13.985168 817908.9 1997 11 2 17.168638 .47637135 17.243544 5.676754 16.01061 32.225536 256.33966 90.8883 89.58325 91.14098 3.0594726 2.583101 13.23813 764022.4 1998 11 2 17.466276 .19378944 17.168638 5.57973 16.055122 31.133387 257.76697 89.58325 89.74376 90.23952 2.976131 2.782341 16.156803 626516.6 1999 11 2 17.486904 .1302654 17.466276 5.549076 16.172739 30.792246 261.5575 89.74376 92.06766 91.81212 2.954697 2.8244314 16.85136 574889.6 2000 11 2 17.371695 .09091611 17.486904 5.56452 16.545479 30.963886 273.75287 92.06766 91.55039 91.61359 2.926352 2.8354356 17.03782 470591.1 2001 11 2 17.538153 .11332463 17.371695 5.560682 16.463879 30.92118 271.0593 91.55039 94.50967 94.84087 2.989271 2.875946 17.742205 633559.6 2002 11 3 17.685211 -.04804216 . . . . . . 106.25858 . 2.7495556 2.797598 16.405188 847528.8 1990 9 3 17.686045 -.027189447 17.685211 6.021023 17.647928 36.25272 311.4494 106.25858 105.86242 105.86242 2.732819 2.7600086 15.799978 935891.3 1991 9 3 17.671646 .14222182 17.686045 6.021023 17.58213 36.25272 309.1313 105.86242 105.61868 105.7041 2.769636 2.627414 13.837938 1111021.1 1992 9 3 . . . . . . . . . . 2.907721 . . . 1994 9 3 . . . 5.777652 . 33.381268 . . . . 2.934672 . . . 1995 9 3 . . . 5.666427 . 32.10839 . . . . 3.0229115 . . . 1996 9 3 . . . 5.641907 . 31.83112 . . . . 2.9946465 . . . 1997 9 3 . . . 5.624018 . 31.629576 . . . . 2.979652 . . . 1998 9 3 . . . 5.645447 . 31.87107 . . . . 2.958269 . . . 1999 9 3 . . . 5.602119 . 31.38374 . . . . . . . . 2000 9 3 . . . . . . . . . . 2.973937 . . . 2005 9 3 . . . 5.560682 . 30.92118 . . . . 2.987414 . . . 2006 9 3 . . . 5.541264 . 30.7056 . . . . 3.048665 . . . 2007 9 3 . . . 5.46806 . 29.89968 . . . . 3.0939705 . . . 2008 9 3 . . . 5.411646 . 29.28591 . . . . 3.232545 . . . 2009 9 3 . . . 5.225747 . 27.30843 . . . . 3.1559246 . . . 2010 9 3 . . . 5.105946 . 26.07068 . . . . 3.1492085 . . . 2011 9 3 . . . 5.187386 . 26.908974 . . . . 3.255983 . . . 2012 9 4 15.01968 .3336895 . . . . . . 48.55482 . 4.5127883 4.1790986 65.30696 15146.778 1990 12 4 15.022756 .3073085 15.01968 3.2580965 14.90282 10.615192 222.094 48.55482 50.3941 48.27384 4.3042393 3.996931 54.43084 22385.24 1991 12 4 15.1366 .4556749 15.022756 3.4011974 14.816577 11.568144 219.53096 50.3941 50.23078 50.23078 4.381688 3.926013 50.70443 25348.23 1992 12 4 15.133115 .38872105 15.1366 3.4011974 14.768559 11.568144 218.1103 50.23078 49.92993 49.92993 4.25475 3.866029 47.75237 27437.33 1993 12 4 15.34381 .56622404 15.133115 3.4011974 14.680104 11.568144 215.50546 49.92993 52.73893 50.05569 4.217258 3.651034 38.51447 33996.074 1994 12 5 14.318871 .2363022 . . . . . . 52.50924 . 4.1221137 3.8858116 48.70646 18282.813 1990 13 5 14.33882 .14315946 14.318871 3.4011974 15.438456 11.568144 238.3459 52.50924 51.9116 51.9116 4.0813046 3.938145 51.32331 18239.602 1991 13 5 14.425867 .08028135 14.33882 3.4011974 15.262743 11.568144 232.95132 51.9116 53.10882 51.66114 3.9776285 3.897347 49.27157 21289.85 1992 13 5 14.147803 .26025337 14.425867 3.496508 15.189105 12.225566 230.7089 53.10882 49.79938 52.83147 4.2118893 3.951636 52.02039 17387.271 1993 13 5 13.998558 .27502674 14.147803 3.295837 15.109783 10.86254 228.30554 49.79938 47.71178 49.48004 4.3498187 4.074792 58.83823 14231.01 1994 13 6 16.21919 -.3809965 . . . . . . 60.75862 . 3.738659 4.119655 61.53802 29935.56 1990 13 6 16.260809 -.42471975 16.21919 4.0943446 14.839644 16.763659 220.21504 60.75862 62.98775 61.11935 3.60359 4.0283093 56.16587 33319.867 1991 13 6 16.190674 -.3836766 16.260809 4.2195077 14.92775 17.804245 222.8377 62.98775 60.28959 63.48172 3.770783 4.15446 63.71754 31637.805 1992 13 6 16.109068 -.40775445 16.190674 4.0073333 15.044816 16.05872 226.3465 60.28959 60.91506 60.11831 3.6613054 4.06906 58.50194 32177.703 1993 13 6 16.068838 -.3437974 16.109068 4.060443 15.002072 16.487196 225.0622 60.91506 60.95181 60.69627 3.686506 4.0303035 56.27799 33962.234 1994 13 6 16.22614 -.3108323 16.068838 4.0775375 14.94819 16.626312 223.4484 60.95181 60.55251 60.80744 3.7417824 4.0526147 57.54773 38583.008 1995 13 6 16.159908 -.3321391 16.22614 4.060443 14.912786 16.487196 222.39117 60.55251 60.32162 60.5811 3.7396474 4.0717864 58.66166 35998.133 1996 13 6 16.52201 -.3992459 16.159908 4.0430512 14.919825 16.346264 222.60117 60.32162 64.415695 60.32117 3.532476 3.931722 50.99471 49431.5 1997 13 6 16.705597 -.3663772 16.52201 4.317488 14.919716 18.640705 222.5979 64.415695 65.23885 64.278015 3.522991 3.889368 48.87997 50680.11 1998 13 6 16.3978 -.11567882 16.705597 4.3820267 14.887826 19.20216 221.64737 65.23885 62.63631 65.04882 3.731079 3.846758 46.84094 50147.09 1999 13 6 16.144672 -.307299 16.3978 4.2195077 14.84446 17.804245 220.358 62.63631 59.18729 63.51788 3.840071 4.1473703 63.26741 29437.58 2000 13 6 16.062643 -.14592817 16.144672 3.9318256 15.053386 15.459253 226.6044 59.18729 58.38268 58.98281 3.9166164 4.062545 58.12203 32380.344 2001 13 6 16.104303 -.1866616 16.062643 3.89182 15.00138 15.146264 225.0414 58.38268 59.97431 58.24553 3.8021834 3.988845 53.9925 36518.668 2002 13 6 16.065002 -.063100174 16.104303 4.0073333 14.96614 16.05872 223.98534 59.97431 60.26117 59.47297 3.801194 3.864294 47.6696 45042.38 2003 13 6 15.966308 -.04491978 16.065002 4.060443 14.841035 16.487196 220.2563 60.26117 59.77331 60.29439 3.818517 3.8634365 47.62875 43860.78 2004 13 6 15.850893 .02122972 15.966308 4.0253515 14.849215 16.203455 220.49918 59.77331 59.81426 59.55241 3.737611 3.7163815 41.11535 52677.49 2005 13 6 15.95958 -.04334816 15.850893 4.0430512 14.794337 16.346264 218.8724 59.81426 60.37286 59.61652 3.462443 3.5057914 33.307793 69961.914 2006 13 6 16.214342 -.27245182 15.95958 4.0943446 14.745428 16.763659 217.42764 60.37286 60.47477 60.47477 3.686227 3.958679 52.38808 48105.7 2007 13 6 16.076605 -.27628836 16.214342 4.0943446 14.770316 16.763659 218.16223 60.47477 60.53951 60.05853 3.67999 3.956278 52.26245 47778.8 2008 13 6 15.069398 .0908123 16.076605 4.1271343 14.668654 17.033237 215.1694 60.53951 56.58737 60.32848 3.76528 3.6744676 39.42766 54259.69 2009 13 6 15.63076 -.3830249 15.069398 3.871201 14.617522 14.986197 213.67195 56.58737 56.15325 56.46031 3.733954 4.116979 61.37356 32005.066 2010 13 6 15.673334 -.51269746 15.63076 3.8501475 14.5847 14.823636 212.7135 56.15325 56.50153 56.19424 3.686655 4.1993523 66.64315 27863.145 2011 13 6 15.249295 -.4021002 15.673334 3.871201 14.595347 14.986197 213.02417 56.50153 54.70491 56.30482 3.7371416 4.1392417 62.75521 28027.807 2012 13 6 15.25802 -.6352077 15.249295 3.7612 14.544536 14.146626 211.5435 54.70491 52.65004 54.43921 3.782907 4.4181147 82.93977 21643.31 2013 13 6 14.851965 -.3753061 15.25802 3.637586 14.473894 13.232033 209.4936 52.65004 50.6981 53.21199 3.972618 4.347924 77.3178 21166.89 2014 13 7 16.918638 .08657335 . . . . . . 93.67912 . 2.968111 2.8815374 17.841682 438348.1 1990 14 7 16.853062 .05299169 16.918638 5.476463 17.105768 29.99165 292.6073 93.67912 92.20798 92.7848 2.9481015 2.89511 18.08549 429950.8 1991 14 7 16.740894 .052176 16.853062 5.442418 16.942467 29.61991 287.04718 92.20798 89.83835 91.76974 2.989162 2.936986 18.858923 402502 1992 14 7 16.623428 .20358093 16.740894 5.327876 16.861944 28.386263 284.32516 89.83835 87.77859 89.3113 3.105712 2.902131 18.212921 410741.6 1993 14 7 16.655666 .2300403 16.623428 5.236442 16.763021 27.420326 280.9989 87.77859 86.53831 87.26296 3.115903 2.8858626 17.919018 394877.6 1994 14 8 16.176357 .4674003 . . . . . . 96.98569 . 2.861595 2.394195 10.95937 757297.8 1990 13 8 16.15451 .3130495 16.176357 5.669881 17.10542 32.14755 292.59537 96.98569 95.57558 96.4793 2.846296 2.533247 12.59433 641836 1991 13 8 16.157915 .28487125 16.15451 5.616771 17.016108 31.54812 289.5479 95.57558 95.11002 95.42175 2.851641 2.56677 13.023687 611882.75 1992 13 8 15.88738 .24308966 16.157915 5.598422 16.988718 31.34233 288.61655 95.11002 93.69633 94.93369 2.844345 2.601256 13.480655 578734.4 1993 13 8 16.042505 .2135471 15.88738 5.525453 16.957222 30.53063 287.54736 93.69633 91.94699 93.4243 2.87401 2.660463 14.302915 505009.4 1994 13 9 16.51443 .506111 . . . . . . 90.09723 . 2.927446 2.421335 11.260885 649875.8 1990 19 9 16.42134 .5311236 16.51443 5.627621 16.009825 31.67012 256.31448 90.09723 91.6189 91.6776 2.934493 2.403369 11.060378 718790 1991 19 end
The code is:
Code:
qui{
mata:
void GMM_AXT(todo,betas,crit,g,H)
{
PHI=st_data(.,("phi"))
PHI_LAG=st_data(.,("phi_lag"))
Z=st_data(.,("const","l_lag","k"))
X=st_data(.,("const","l","k"))
X_lag=st_data(.,("const","l_lag","k_lag"))
Y=st_data(.,("y"))
C=st_data(.,("const"))
OMEGA=PHI-X*betas'
OMEGA_lag=PHI_LAG-X_lag*betas'
OMEGA_lag_pol=(C,OMEGA_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 GMM_AXT_TRL(todo,betas,crit,g,H)
{
PHI=st_data(.,("phi"))
PHI_LAG=st_data(.,("phi_lag"))
Z=st_data(.,("const","l_lag","k","l_lag2","k2","l_lagk"))
X=st_data(.,("const","l","k","l2","k2","lk"))
X_lag=st_data(.,("const","l_lag","k_lag","l_lag2","k_lag2","l_lagk_lag"))
Y=st_data(.,("y"))
C=st_data(.,("const"))
OMEGA=PHI-X*betas'
OMEGA_lag=PHI_LAG-X_lag*betas'
OMEGA_lag_pol=(C,OMEGA_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 AXT()
{
S=optimize_init()
optimize_init_evaluator(S, & GMM_AXT())
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,("OLS"))
p=optimize(S)
p
st_matrix("beta_axt",p)
}
void AXT_TRLOG()
{
S=optimize_init()
optimize_init_evaluator(S, & GMM_AXT_TRL())
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,(0,0,0,0,0,0))
p=optimize(S)
p
st_matrix("beta_axttrlog",p)
}
cap program drop axt
program axt, rclass
preserve
sort Id year
mata AXT()
end
cap program drop axt_trlog
program axt_trlog, rclass
preserve
sort Id year
mata AXT_TRLOG()
endCode:
. qui{
GMM_AXT () already exists
(69 lines skipped)
r(3000);If some of you have used this code or could help, I would be very grateful!
Best regards
Jad L
0 Response to GMM code error-message
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