I am trying to establish GMM analysis for a paper but I am unsure if it is correct. The original OLS reg model is as follow:
FP = PostCSR + CSR + Post + Controls
Where,
Dependent var = FB
Indep. var = PostCR (CR after a specific year, & the year is dummy 0,1 )
Control var = SGAt1 RDIt1 CGt1 LnAget1 Sizet1 Levt1 IndSenst1 betat1 TQt1 (t1 = one lagged year)
Instrumental var= MedCR Lnage
I established the following codes and each one gives me different results, I need the overidentification tests (sargan and Hansen tests) which I couldn't obtain using the first code:
1-
Code:
gmm (TobinsQ- {xb: RegCRt1 CRt1 Regt1 lambdat1 }- {b0}), instruments(SGAt1 RDIt1 CGt1 LnAget1 Sizet1 Levt1 IndSenst1 betat1 TQt1)
Code:
xtabond2 LnTobinsQ l.LnTobinsQ LnCR Reg LnSGA LnRDI LnCG LnAge_w Lnsize LnLev LnTQt1, gmm(l.LnTobinsQ LnRegCR) iv( Med_CRt1 LnAge_w) twostep robust
Thank you in advance
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