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Thx for the reply again! This is indeed where the problem was... I thought that it was not necessary to restate your options when you just want to store the estimates into the table. Good to know! By the way, a suggestion of mine regarding the Commands Reference might be to link clearly the differen...

Thx for the reply. You're correct.

Here's the right version with the two gmm equations with option for two-step estimator and bandwidth=12 that do not seem to work...

Thx a lot, Art.

Thx for the quick reply!
So here's the programm and the workfile. Just ask if there's anything unclear! The two gmm equations I mentionned are about halfway down in the programm...

Best, Art.

Hi everybody, I'm running a self-written procedure that has among others two equations that I estimate with GMM. I would like to alternate between the two-step, iterative and continuously-updating GMM estimators, as well as with different bandwidth specifications of the Newey-West estimator in order...

Hi, I'm estimating an equation (ch1.ls) within a loop for different values of a threshold (tau), which I model using dummy variables (d_ch1). ' Generate 99 different values for tau smpl 1999M01 2009M03 for !j=1 to 99 tau(!j)=0.28667+!j*(3.19-0.28667)/100 ' Generate corresponding dummy series smpl 19...

well everything seems to be ok now!
thanks a lot, this has been very helpful ;)

Thank you so much for the quick answer! I'm afraid I'm still stuck, though. Following your suggestion, I have now freeze(table) ch1.wald c(4)=c(8) vector supw(!j)=@val(table(6,4)) When I run the loop I get the alert: "TABLE already exists in "FREEZE(TABLE) ch1...", so I assume the tab...

Hi, I'm trying to implement a Sup W statistic. It basically consists of estimating a threshold regression for, say, 100 different threshold values, compute the Wald statistic for each of them, and finally chose the Sup W as the largest values among all Walds... So I run a loop, estimate the regressi...