[讨论]STATA 专题讨论

如果你可以直接连国际网，就不需要设定代理了。

输入命令：search xtabond2,all 后，stata会显示：

===========================================

--------------------------------------------------------------------------------------- search for xtabond2 (manual: [R] search) ---------------------------------------------------------------------------------------

Keywords: xtabond2 Search: (1) Official help files, FAQs, Examples, SJs, and STBs (2) Web resources from Stata and from other users

Search of official help files, FAQs, Examples, SJs, and STBs

Web resources from Stata and other users

(contacting http://www.stata.com)

1 package found (Stata Journal and STB listed first) ----------------------------------------------------

xtabond2 from http://fmwww.bc.edu/RePEc/bocode/x 'XTABOND2': module to extend xtabond dynamic panel data estimator / xtabond2 can fit two closely related dynamic panel data / models. The first is the Arellano-Bond (1991) estimator, which / is also available with xtabond without the two-step / finite-sample correction described

(click here to return to the previous screen)

(end of search) ====================================================

点击蓝色连接：xtabond2 from http://fmwww.bc.edu/RePEc/bocode/x

stata会显示：

--------------------------------------------------------------------------------------- package xtabond2 from http://fmwww.bc.edu/RePEc/bocode/x ---------------------------------------------------------------------------------------

TITLE 'XTABOND2': module to extend xtabond dynamic panel data estimator

DESCRIPTION/AUTHOR(S) xtabond2 can fit two closely related dynamic panel data models. The first is the Arellano-Bond (1991) estimator, which is also available with xtabond without the two-step finite-sample correction described below. The second is an augmented version outlined in Arellano and Bover (1995) and fully developed in Blundell and Bond (1998). Arellano and Bond (1991) developed a Generalized Method of Moments estimator that treats the model as a system of equations, one for each time period. The equations differ only in their instrument/moment condition sets. The predetermined and endogenous variables in first differences are instrumented with suitable lags of their own levels. Strictly exogenous regressors, as well as any other instruments, can enter the instrument matrix in the conventional instrumental variables fashion: in first differences, with one column per instrument. A problem with the original Arellano-Bond estimator is that lagged levels are often poor instruments for first differences, especially for variables that are close to a random walk. Arellano and Bover (1995) described how, if the original equations in levels were added to the system, additional moment conditions could be brought to bear to increase efficiency. In these equations, predetermined and endogenous variables in levels are instrumented with suitable lags of their own first differences. Blundell and Bond (1998) articulated the necessary assumptions for this augmented estimator more precisely and tested it with Monte Carlo simulations. The original estimator is sometimes called "difference GMM," and the augmented one, "system GMM." Bond (2002) is a good introduction to these estimators and their use. xtabond2 implements both estimators. As GMM estimators, the Arellano-Bond estimators have one- and two-step variants. But though asymptotically more efficient, the two-step estimates of the standard errors tend to be severely downward biased (Arellano and Bond 1991; Blundell and Bond 1998). To compensate, xtabond2, unlike xtabond, makes available a finite-sample correction to the two-step covariance matrix derived by Windmeijer (2000). This can make twostep robust more efficient than onestep robust, especially for system GMM. Note: the routine requires an up-to-date version of Stata 7 (with the 21jun2002 update installed). KW: Arellano-Bond KW: dynamic panel data KW: Blundell-Bond KW: Arellano-Bover KW: Windmeijer Distribution-Date: 20050818 Author: David Roodman, Center for Global Development Support: email DRoodman@CGDEV.ORG

INSTALLATION FILES (click here to install) （点击此处安装即可，arlion提示） xtabond2.ado xtabond2.hlp xtab2_p.ado

ANCILLARY FILES (click here to get) ../b/bbest.do ../g/Greene.do ---------------------------------------------------------------------------------------

谢谢贴主。但是我到(contacting http://www.stata.com) 后面就报错了。

是不是因为装的不是正版？

那表明你还是没有连到国际网上。需要设定一下stata的代理服务器，方法如下：

依次点击：prefs---->general prefers----->Internet-----

然后输入可用的代理服务器即可。

感谢Arlion之前的回复。我又有个小问题。在run GMM后呢，结果里用的是 z statistics. 即：

Two-step results ------------------------------------------------------------------------------ mat | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- mat | LD | .6220494 .0032905 189.04 0.000 .6156001 .6284986 mtb2 | D1 | .0430176 .0682309 0.63 0.528 -.0907125 .1767477 LD | -.1494386 .1306281 -1.14 0.253 -.4054649 .1065878 assetmat2 | D1 | .0345373 .0838666 0.41 0.680 -.1298382 .1989128 LD | -.009905 .0125259 -0.79 0.429 -.0344552 .0146453 size | D1 | .0703515 .0078986 8.91 0.000 .0548706 .0858325 LD | -.0584977 .0083359 -7.02 0.000 -.0748358 -.0421596 ------------------------------------------------------------------------------

请问z test的值怎么看显著显著？一般的计量的书后面没有表，查不到。我在网上找了个这个表

http://fsweb.berry.edu/academic/education/vbissonnette/tables/pwr_z.pdf

拜托指点一下怎么看.

z值是假设大样本下得到的分布的临界值，其实就是正态分布；

t值对应小样本，服从t分布。

[此贴子已经被作者于2005-9-2 16:10:14编辑过]

不错

金禾经济研究中的ftp地点有点问题，虽然能进去（并没有提示使用密码），但是不能下载，

我刚试过，没有问题的，你需要输入帐号和密码，均为 upload

perfect

我也要学stata，以前学了一点忘了