STATA-FORUM.DE

[Kiki7]

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