Windmeijer corrected standart errors for GMM two-step
Posted: Fri Dec 24, 2010 2:40 am
Hi,
I need help on how to calculate windmeijer corrected standart errors for dynamic panel GMM Arellano Bond /two-step estimation.
Since the two step estimation yield downward biased std.err.s, I have to calculate windmeijer corr. std. errs.. Even tough the help documents says that there is windmeijer option, I could not find. There is just the general formulation. How can I get those from estimation outputs.
Best regards.
bsakarya
I need help on how to calculate windmeijer corrected standart errors for dynamic panel GMM Arellano Bond /two-step estimation.
Since the two step estimation yield downward biased std.err.s, I have to calculate windmeijer corr. std. errs.. Even tough the help documents says that there is windmeijer option, I could not find. There is just the general formulation. How can I get those from estimation outputs.
Best regards.
bsakarya