Stata Gmm

Stata continues to do this until all variables have been used. Stata's new gmm command makes generalized method of moments estimation as simple as nonlinear least-squares estimation and nonlinear seemingly unrelated regression. This is quite straight-forward: As Eviews will treat every equation entered as being an expected value, you just have to enter the expres-sion inside the expected value operator. 我的文章还有没有必要做GMM回归 2. The Stata Journal (2002) 2, Number 1, pp. "Panel data methods for microeconometrics using Stata," by Colin Cameron, 2007. However I'm using the difference and system GMM command of xtabond2. Address changes should be sent to the Stata Journal , StataCorp, 4905 Lakeway Drive, College Station, TX 77845, USA, or emailed to [email protected] Textbook Examples. (Chudik and Pesaran, 2015) as well as IV/GMM-versions Tim developed as part of his PhD. Therefore GMM is also bad. N random variables that are observed, each distributed according to a mixture of K components, with the components belonging to the same parametric family of distributions (e. #N#Descriptive Statistics. Finite sample properties of multiple equation GMM may be worse than single equation GMM 3. Hansen, Lars Peter, 1982. Stata offers additional options exampleabove: twostep specifies two-stepestimator calculatedinstead defaultone-step. GMM 的 stata 操作步骤 广义矩估计(Generalized Method of Moments,即 GMM) 一、解释变量内生性检验 首先检 验解释变量内生性(解释变量内生性的 Hausman 检验:使用工具变量法的前提是存在内生 解释变量。. Multiple regression (an extension of simple linear regression) is used to predict the value of a dependent variable (also known as an outcome variable) based on the value of two or more independent variables (also known as predictor variables). Code to Download. The procedure is to first store a number of models and then apply esttab to these stored. Read "Mostly Harmless Econometrics". Estimators are derived from so-called moment conditions. April 8, 2008 2 / 55 ). We extend Hansen’s (Hansen, 1999) original setup to models including endogenous regressors, specifically, lagged dependent variables. However I'm using the difference and system GMM command of xtabond2. Ad oggi non è stata ancora formalizzata attraverso provvedimento governativo, la data a partire dalla quale i centri sportivi sono autorizzati ad accogliere atleti non professionisti. 11 or above of ivreg2 is required for Stata 9; Stata 8. Stata can compute the GMM estimators for some linear models: 1 regression with exogenous instruments using ivregress ( ivreg , ivreg2 for Stata 9 ) demand function using 2 SLS ivreg 2sls q demand_shiftrs ( p = supply_shiftrs ), vce(robust) demand function using GMM ivreg gmm q demand_shiftrs ( p = supply_shiftrs ) with heteroskedasticit,y the GMM estimator will be more. Models in GeoDaSpace. Please, don't cite without permission. My problem is twofold: First, I don't understand why the following was done, and how the findings can be interpreted: Multiplying the coefficient with the standard deviation of the variable in the sample to see the impact of the variable. David Roodman. The program features include multiple imputations, factor variables, generalized method of moments (GMM) completing-risks regression, state-space modeling, predictive margins, a Variables. GMM được Lars Peter Hansen trình bày lần đầu tiên vào năm 1982 trong bài viết “Large Sample Properties of Generalized Methods of Moments Estimators” được đăng trong Econometrica, Vol. Applied Financial Econometrics using Stata 3. Panel Data (14): Choosing between Difference and System GMM (& steps for GMM estimation) Panel Data (15): Two-step Difference and System GMM in STATA. , Abonazel, M. As far as I can tell, the two programs in the code below are identical. Questions tagged [stata] Ask Question Stata is a commercial, general-purpose statistical software. The assumptions are called moment conditions. ssc install ranktest (安装另外一个在运行ivreg2 时需要用. I am using STATA command xtabond2 and system GMM for my very first project. The acronym GMM is an abreviation for "generalized method of moments," refering to GMM being a generalization of the classical method moments. per day, or 28 Million sessions per year). Margins are statistics calculated from predictions of a previously fit model at fixed values of some covariates and averaging or otherwise integrating over the remaining covariates. Questions tagged [stata] Ask Question Stata is a commercial, general-purpose statistical software. An instrumental variable need not be a cause of X; a proxy of such cause may also be used, if it satisfies conditions 1-5. Non-convergence in Non-linear estimation Remember that convergence is rarely guaranteed for non-linear estimates. /N D 1 T XT tD1 gt. 动态面板数据模型的GMM估计及其应用. ivreg29 for users who don't yet have Stata 10 or 11 ivreg2 requires Stata 10 or later. Just specify your residual equations by using substitutable expressions, list your instruments, select a weight matrix, and obtain your results. Stata 手冊 GMM, ,寫得非常清楚。 Zsohar, P. Q&A for Work. gmm e = y - X*b orthog e ; W weights V params b end gmm In the example above we assume that y and X are data matrices, b is an appropriately sized vector of parameter values, W is a matrix of instruments, and V is a suitable matrix of weights. GMM estimation in Mata - Data Analysis and Statistical April 08, 2020. STATA 用 xtabond2 进行差分 GMM 估计实例 xtabond2 npl l. Stata Codes for Asset Pricing Models Testing of assets pricing models requires time series returns of portfolios that are formed on size, book-to-market, leverage, beta, or any other criteria and factor returns that might include market factor, SMB, HML, momentum, profitability, liquidity, investment, etc. ivpois implements a Generalized Method of Moments (GMM) estimator of Poisson regression and allows endogenous variables to be instrumented by excluded instruments, hence the acronym for Instrumental Variables (IV) in its name. 293-326 "Linear Dynamic Panel-Data Estimation using Maximum Likelihood and Structural Equation Modeling. ssc install ranktest (安装另外一个在运行ivreg2 时需要用到的辅助程序ranktest). which are your outcome and predictor variables). ssc install ivreg2 (安装程序ivreg2 ). Both are general estimators. We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. How to perform panel GMM ,Generalized Methods of Moments (GMM) using stata - Duration: 24:47. " Once they have been downloaded to your working directory, these STATA. It is not uncommon to open up a data set and find the code for missing data to be “99” or “999” or some other number. I am using STATA command xtabond2 and system GMM for my very first project. Collapsing data across observations. gmm postestimation — Postestimation tools for gmm. 2 IV, 2SLS, GMM: De-nitions 3 Data Example 4 Instrumental variable methods in practice 5 IV Estimator Properties 6 Nonlinear GMM 7 Endogeneity in nonlinear models 8 Stata 9 Appendix: Instrumental Variables Intuition c A. For those who have only Stata 9, we have provided a new program, ivreg29. Using the Arellano – Bond system GMM estimator in Stata Sometimes the lagged levels of the regressors are poor instruments for the first-differenced regressors. Combining Stata data files. Thus, you have to type c(1)*cnsqdifferenz^-c(2)*decile1-1=0. ssc install ivreg2 (安装程序ivreg2 ). Stata by PDF results. Working across variables using foreach. Communications in Statistics-Simulation and Computation (in press). Stata Description: Stata , used for statistical analysis, is a comprehensive package for Data Management and Statistics with strong Graphical Facilities. The program ivgmm0 can be downloaded typing search ivgmm0 in the command line (see How can I use the search command to search for programs and get additional help? for more information about using search). Using the gmm command Several linear examples Nonlinear GMM Summary Summary Stata can compute the GMM estimators for some linear models: 1 regression with exogenous instruments using ivregress ( ivreg , ivreg2 for Stata 9 ) 2 xtabond for dynamic panel data since Stata 11, it is possible to obtain GMM estimates of non-linear models using the gmm. Outline 1 A quick introduction to GMM 2 Using the gmm command 2 / 29. moments (GMM) problem in which the model is specified as a system of equations, one per time period, where the instruments applicable to each equation differ (for instance, in later time periods, additional lagged values of the instruments are available). The Stata Journal (2007) 7, Number 4, pp. Therefore, a new estimator commonly termed system GMM was implemented to substitute this basic one (known as difference GMM). The course is ideal for beginner/intermediate level user who wants to learn how to analyse time-series data and estimate univariate time-series models. The estout package provides tools for making regression tables in Stata. Just specify your residual equations by using substitutable expressions, list your instruments, select a weight matrix, and obtain your results. On this set, I want to run analysis using GMM. 3); I'm hoping somebody can share anything they've learned attempting the same thing. For the Love of Physics - Walter Lewin - May 16, 2011 - Duration: 1:01:26. Simons – This document is updated continually. I am using STATA command xtabond2 and system GMM for my very first project. Finding the question is often more important than finding the answer. ) thanks to the ivreg2 routine by Baum, Schaffer and Stillman. GeoDaSpace Software for Advanced Spatial Econometric Modeling Download View on GitHub Resources Support. description-----estat overid. Find out more. Colin Cameron and Pravin K. This modeling flexibility is the basis of the GMM framework (cf. r/stata: Stata news, code tips and tricks, questions, and discussion! We are here to help, but won't do your homework or help you pirate software. , Abonazel, M. Boffelli and G. Stata recognizes the period, “. It is now possible to easily use this method in R with the new gmm package. clear command clears out the dataset that is currently in memory. This paper suggests a generalized method of moments (GMM) based estimation for dynamic panel data models with individual specific fixed effects and threshold effects simultaneously. 新手面板数据回归之GMM 的 stata 操作步骤广义矩估计( Generalized Method of Moments 即 GMM ) 原理就是回归!就是一种高级点的回归!我也是新手,也有很多不太懂的地方。断断续续学习了两个月,看了很多文献和…. Differences Between SPSS vs Stata. 如果必要的话,我现在应该怎么做. Hossain Academy welcomes to Hossain Academy Note. Stata 11 adds many new features such as multiple imputation, factor variables, generalized method of moments (GMM), competing-risks regression, state-space modeling, predictive margins, a Variables Manager, and more. This article emphasizes endogeneity bias can lead to inconsistent estimates and incorrect inferences. 2, we added the ability to use margins to estimate covariate effects after gmm. Stata is a powerful statistical package with smart data-management facilities, a wide array of up-to-date statistical techniques, and an excellent system for producing publication-quality graphs. More specifically, in an instrumental variable estimation context, the lars command. Essentially, xtoverid can be used in three cases: to test on excluded instruments in IV estimations, to test on model specification (FE or RE), and to test on the strong assumption in an xthtaylor estimation. twostep is the default. It is the natural extension to GMM estimation of IV models. Which weighting matrix should be used in the objective function. ORDER STATA Generalized method of moments (GMM) Stata's gmm makes generalized method of moments estimation as simple as nonlinear least-squares estimation and nonlinear seemingly unrelated regression. Results using the two. It ranges from lasso to Python and from multiple datasets in memory to multiple chains in Bayesian analysis. I know that stata help has one (strange) implementation of the CCAPM in Hamilton. The next step is to verify it is in the correct format. I am finally nearly done with the package I have been working on which provides the mechanism for Stata users to seamlessly move from Stata to R though use of my new package "RStata"!. Econometrics I Ricardo Mora. The Stata Journal (2003) 3, Number 1, pp. I have panel data (time: date, name: ticker). Stata 11 David M. Estimators are derived from so-called moment conditions. Stata is not sold in pieces, which means you get everything you need in one package without annual license fees. Exporting ttest results from Stata to Word using asdoc Category: asdoc,Blog,Stata Programs,Uncategorized asdoc installation. Software packages in STATA and GAUSS are commonly used in these applications. Arellano and Bond (1991) derived a consistent generalized method-of-moments (GMM) estimator for the parameters of this model; xtabond implements this estimator. According to Arellano and Bond (1991), Arellano and Bover (1995) and Blundell and Bond (1998), two necessary tests. using arellano bond dynamic panel gmm estimators in stata tutorial with examples using stata (xtabond and xtabond2) elitza mileva, economics department fordham. GMM is practically the only estimation method which you can use, when you run into endogeneity problems. Generalized method of moments estimation in. ivpois implements a Generalized Method of Moments (GMM) estimator of Poisson regression and allows endogenous variables to be instrumented by excluded instruments, hence the acronym for Instrumental Variables (IV) in its name. Funding research in universities: do government resources act as a complement or substitute to industry funding? Economic Research-Ekonomska Istraživanja: Vol. In Stata 14. Stata's new gmm command makes generalized method of moments estimation as simple as nonlinear least-squares estimation and nonlinear seemingly unrelated regression. The basic syntax of esttab is:. Oscar Torres-Reyna. ssc install ranktest (安装另外一个在运行ivreg2 时需要用. [Aedín Doris; Donal O'Neill; Olive Sweetman; National University of Ireland, Maynooth. The paper we are discussing today is a big step forward in creating robust pro-cedures in a more general situation. Fur-thermore, We derive the asymptotic variance formula for a kink con-strained GMM estimator of the dynamic threshold model and include. This method has been incorporated into several commercial software packages, usually under the name of Arellano-Bond (AB) estimators. It is now possible to easily use this method in R with the new gmm package. 2 IV, 2SLS, GMM: De-nitions 3 Data Example 4 Instrumental variable methods in practice 5 IV Estimator Properties 6 Nonlinear GMM 7 Endogeneity in nonlinear models 8 Stata 9 Appendix: Instrumental Variables Intuition c A. Just specify your residual equations by using substitutable expressions, list your instruments, select a weight matrix, and obtain your results. GMM is GLS with instrumental variables. Baum Department of Economics Boston College Chestnut Hill, MA [email protected] Baum and David M. Gcphone Fix Gcphone Fix. Trivedi,Panel methods for Stata Microeconometrics using Stata, Stata Press, forthcoming. Example #4 (nonlinear GMM): Estimating the elasticity of intertemporal substitution, nonlinear Euler equation. Since that time, those routines have been considerably enhanced and additional routines have been added to the suite. Colin Cameron Univ. The optimal weighting matrix, as shown by Hansen. Lecture Notes are available on Carleton CU-learn. GMM is practically the only estimation method which you can use, when you run into endogeneity problems. Generalized method of moments (GMM) is a general estimation principle. In the first program, I just assign the parameter to a scalar. 86-136 how to do xtabond2: an introduction to difference and system gmm in stata david roodman center for global development. xtabond2 can be installed in stata by using the command "ssc install xtabond2, replace". Address changes should be sent to the Stata Journal , StataCorp, 4905 Lakeway Drive, College Station, TX 77845, USA, or emailed to [email protected] Results using the two. Price of Risk The central question of interest is why average returns vary across assets. xtivreg2 implements IV/GMM estimation of the fixed-effects and first-differences panel data models with possibly endogenous regressors. As is well known, the optimal weighting matrix used in GMM is the inverse of the long-run variance of the moments underconsideration,which can be consistently estimated using kernel methods. "GMM Estimation in Mata," by Austin Nichols, 2008. Description Syntax for predict Menu for predict Option for predict. /N is short hand notation for the sample average and where the value of the moment conditions clearly depend on the parameter vector. This working paper by CGD research fellow David Roodman provides an introduction to a particular class of econometric techniques, "dynamic panel estimators. Using menu: 1. In contrast, the unconditional quantile regression method provides more interpretable results as it marginalizes the effect over the distributions of other covariates in the model. Outline 1 Rational expectations and no-arbitrage pricing models 2 Empirical analysis with GMM 3 Weak identification 4 Inference robust to weak identification 5 GMM with optimal instruments 6 Information-theoretic GMM 7 Lack of identification in asset pricing models 8 XMM and efficient derivative pricing Patrick Gagliardini (USI and SFI) GMM Estimation of asset pricing models 2/40. 1 The Basic GMM In general, the q 1sample moment conditions in GMM are written g. Zhipeng Liao, Associate Professor (with Jia Li and Mengsi Gao), forthcoming in Stata Journal, 2020. The next step is to verify it is in the correct format. (System GMM is discussed next. Generalized method of moments (GMM) Stata’s new gmm command makes generalized method of moments estimation as simple as nonlinear least-squares estimation and nonlinear seemingly unrelated regression. Sample 60780: Efficient Method of Moments Estimation of a Stochastic Volatility Model Overview The Efficient Method of Moments (EMM) is a simulation-based method of estimation that seeks to attain the efficiency of Maximum Likelihood (ML) while maintaining the flexibility of the Generalized Method of Moments (GMM. GMM is more efficient under standard 2SLS assumptions such as strong instruments and exclusion restriction, even though there is some evidence against this in small samples. Non-convergence in Non-linear estimation Remember that convergence is rarely guaranteed for non-linear estimates. GMM được Lars Peter Hansen trình bày lần đầu tiên vào năm 1982 trong bài viết “Large Sample Properties of Generalized Methods of Moments Estimators” được đăng trong Econometrica, Vol. year) robust twostep However, even if I can pass Hasen-test, would these deeper lags constitute valid instruments? Thank you in advance!. Reading dates into Stata and using date variables. Today we have shared Stata 15 download free for all our viewers to download and use free of cost. Where xtabond2 stands for gmm command. There may be work on this issue of. All the following research. dta"(打开面板数据). Statistical Software Components from Boston College Department of Economics. 1290 cowles foundation for research in economics yale university box 208281 new haven, connecticut 06520-8281 2010. 提供STATA进行差分GMM估计实例文档免费下载,摘要:xtabond2npll. BGPE Course: IV, 2SLS, GMM. For kgk ˆ = ˆ q g0Ag, same as minimizing kgˆ(β) − 0k ˆ. ivreg2 has been Mata-ized and is noticably faster, in particular with time series and the CUE (continuously-updated) GMM estimator. 54 and now also the AD9951 DDS of the New Electronica magazine. xtkr - Implements the Keane and Runkle (1992) estimator for short dynamic panel data estimation. Human capital is found to have a positive and significant effect on the long run growth path of TFP. ) but with different parameters. That is, the GMM estimator is unique in cases of exact identification. on E[yj]=h j(β0), (1 ≤ j ≤ p). In a multivariate setting we type: regress y x1 x2 x3 … Before running a regression it is recommended to have a clear idea of what you are trying to estimate (i. ssc install ranktest (安装另外一个在运行ivreg2 时需要用到的辅助程序ranktest). 32; AD9850. GMM moment conditions. Suppose we estimate a dynamic model: In Stata: xtabond Y X1 X2 X3, lags(1) where we assume X1, X2 and X3 as exogenous and they enter as instruments in the first-difference equation (diff-GMM) for themselves (no lags). N2 - GMM methods for estimating dynamic panel regression models are heavily used in applied work in many areas of economics and more widely in the social and business sciences. a separate slope coefficients for each individual). Now I create each lag variable one by one using the following code: by ticker: gen lag1 = x[_n-1] How. stata GMM命定. They both have one-step and two-step variants and the new command is now: xtabond2. " Once they have been downloaded to your working directory, these STATA. Generalized Method of Moments 1. depvar endo) iv(exo) depvar: 被説明変数. Department of Economics Universidad Carlos III de Madrid Master in Industrial Economics and Markets. As a result of its popularity, most statistical packages like Matlab, Gauss or Stata o er tool boxes to use the GMM procedure. Estimators are derived from so-called moment conditions. The three-step generalized methods of moments (GMM) approach of Kapoor, Kelejian and Prucha (2007), which corrects for spatially correlated errors in static panel data models, is extended by introducing fixed effects, a spatial lag, and a one-period lag of the dependent variable as additional explanatory variables. The GMM estimates are obtained using the valid moment conditions. description-----estat overid. 450, Fall 2010 c Leonid Kogan ( MIT, Sloan ) Confidence Intervals and Tests 15. gpoisson, Poisson, count data, overdispersion, underdispersion 4 2012 12 December Stata Journal. Working across variables using foreach. ado files to implement the spatial GMM estimators discussed in my paper: "GMM Estimation with Cross Sectional Dependence. For panels with a. MIXTURE MODELS AND EM view of mixture distributions in which the discrete latent variables can be interpreted Section 9. I am using STATA command xtabond2 and system GMM for my very first project. 关于GMM的stata操作步骤. The Stata Journal (2002) 2, Number 1, pp. 1: Difference GMM More efficient estimation is however possible using additional lags of the dependent variable as instruments. How to Do xtabond2: An Introduction to "Difference" and "System" GMM in Stata - Working Paper 103. The standard errors are the. If a PhD student cannot code GMM, then there is a problem here. is also software (condivreg procedure in STATA) that allows for production of robust tests and confldence sets in no time and is easy to use (Mikusheva and Poi (2006)). Technical notes and comparison of functionality in GeoDaSpace/PySAL's spreg, Stata and R:. Stack Overflow for Teams is a private, secure spot for you and your coworkers to find and share information. Stata 16 is a big release, which our releases usually are. Description. Turning interactive use in Stata into reproducible results. What statistical analysis should I use? Stata Programs for Research and Teaching. Since that time, those routines have been considerably enhanced and additional routines have been added to the suite. ssc install ivreg2 (安装程序ivreg2 ). Using Arellano Bond Dynamic Panel GMM Estimators in Stata Tutorial with Examples using Stata 9. STATA简介 2、学习使用 可以通过工具栏操作,但最好输入命令(只认 小写英文),按估计方法为GMM,包括差分GMM和系统 GMM 命令结构为:xtabond2 depvar varlist [ Eviews+ stata 分析 面板 数据的理论与 操作 一个文件全搞定. 2 as defining assignments of data points to specific components of the mixture. Regression and Related Models. For GMM, it is not obvious that a linear model for this object is appropriate, and there are apparently many possible choices. NLS and GMM in STATA Dr. Stata's new gmm command makes generalized method of moments estimation as simple as nonlinear least-squares estimation and nonlinear seemingly unrelated regression. Credentials, including your license code(s) and serial number(s) will be sent to you by email when your purchase is completed. 标签: stata pinggu 经济论坛 面板 人大 2010-11-21 22:12 阅读(?)评论(0) 请教GMM命令. The Stata command to run fixed/random effecst is xtreg. SPSS is a statistics software package which is mostly used for interactive statistical analysis in the form of batches. We use gmm to estimate the parameters of a Poisson model with an endogenous regressor. The Stata Journal is published quarterly by the Stata Press, College Station, Texas, USA. (Two-step GMM efficient in the presence of arbitrary heteroskedasticity). The estout package provides tools for making regression tables in Stata. In Stata 14. In Stata, xtoverid is used on a test of overidentifying restrictions (orthogonality conditions) for a panel data estimation after xtreg, xtivreg, xtivreg2, or xthtaylor. Code to Download. " Large Sample Properties of Generalized Method of Moments Estimators ," Econometrica , Econometric Society, vol. The syntax I'm using for the System GMM is xtabond2 y. Time series ARDL Model using STATA. Its main capabilities: two-step feasible GMM. Department of Economics Universidad Carlos III de Madrid Master in Industrial Economics and Markets. Dynamic Panel Estimation. type: xtset country year delta: 1 unit time variable: year, 1990 to 1999 panel variable: country (strongly balanced). Christopher F Baum & Mark E Schaffer & Steven Stillman, 2002. transformed one|and is known as System GMM. 293-326 "Linear Dynamic Panel-Data Estimation using Maximum Likelihood and Structural Equation Modeling. A gen-eral technique for finding maximum likelihood estimators in latent variable models is the expectation-maximization (EM) algorithm. The following PROC MODEL statements use GMM to estimate the example model used in the preceding section:. use 'traffic. The Stata Journal (2007) 7, Number 4, pp. Cross Section Regressions Hurn (QUT) Applied Financial Econometrics using Stata 26 / 40. Working Paper Number 103 December 2006 How to Do xtabond2: An Introduction to “Difference” and “System” GMM in Stata By David Roodman Abstract The Arellano-Bond (1991) and Arellano-Bover (1995)/Blundell-Bond (1998) linear generalized method of moments (GMM) estimators are increasingly popular. The package currently contains the following commands. Combining Stata data files. phillips cowles foundation paper no. Since 1966, researchers at the Carolina Population Center have pioneered data collection and research techniques that move population science forward by emphasizing life course approaches, longitudinal surveys, the integration of biological measurement into social surveys, and attention to context and environment. Stata 11 adds many new features such as multiple imputation, factor variables, generalized method of moments (GMM), competing-risks regression, state-space modeling, predictive margins, a Variables Manager, and more. 1 / 29 Outline. Schaffer Heriot–Watt University Steven Stillman New Zealand Department of Labour Abstract. Stata can compute the GMM estimators for some linear models: 1 regression with exogenous instruments using ivregress ( ivreg , ivreg2 for Stata 9 ) demand function using 2 SLS ivreg 2sls q demand_shiftrs ( p = supply_shiftrs ), vce(robust) demand function using GMM ivreg gmm q demand_shiftrs ( p = supply_shiftrs ) with heteroskedasticit,y the GMM estimator will be more. Data for 1997 disaggregated according to 3-digit ISIC Rev. Improving the efficiency of GMM estimators for dynamic panel models. Three main motivations: (1) Many estimators can be seen as special cases of GMM. The syntax I'm using for the System GMM is xtabond2 y. While Stata has the official commands xtabond and xtdpdsys—both are wrappers for xtdpd—the Stata community widely associates these methods with the xtabond2 command provided by Roodman (2009, Stata Journal). SPSS is a statistics software package which is mostly used for interactive statistical analysis in the form of batches. An introduction to GMM estimation using Stata David M. The Stata Journal (2003) 3,Number 1, pp. Generalized method of moments (GMM) Stata’s new gmm command makes generalized method of moments estimation as simple as nonlinear least-squares estimation and nonlinear seemingly unrelated regression. The Stata Journal (2003) 3, Number 1, pp. Questions tagged [stata] Stata is a commercial, general-purpose statistical software. Stata is fast and easy to use. Baum Boston College Mark E. 2017-02-17 如何用stata处理非线性回归的工具变量法; 2016-06-24 将数21,22,23,24,25,26,27,28填入()中 4; 2017-12-16 如何判断车身与周围障碍物的距离? 2017-12-22 妈妈用了贝贬堂脚宁水,她的脚就好了,我爸爸能用吗 2; 2017-04-19 stata里GMM模型的命令怎么输; 2017-11-25 求助用STATA. ivreg29 for users who don't yet have Stata 10 or 11 ivreg2 requires Stata 10 or later. ado command by Mander (2006)imple- ments these alternative algorithms for the selection of a subset of targeted variables. 提供STATA进行差分GMM估计实例文档免费下载,摘要:xtabond2npll. So if they don't say. Ad oggi non è stata ancora formalizzata attraverso provvedimento governativo, la data a partire dalla quale i centri sportivi sono autorizzati ad accogliere atleti non professionisti. xtivreg2 supports all the estimation and reporting options of ivreg2; see help ivreg2 for full descriptions and examples. Schaffer Heriot-Watt University Steven Stillman New Zealand Department of Labour Abstract. BGPE Course: IV, 2SLS, GMM. What statistical analysis should I use? Stata Programs for Research and Teaching. This page contains downloadable STATA. SPSS abbreviated as Statistical Package for Social Sciences was developed by IBM, an American multinational corporation in the year 1968. The command gmm is used to estimate the parameters of a model using the generalized method of moments (GMM). Stata 8 users may use ivreg28 (q. Second, a "restricted GMM" estimator that uses a subset of the available lagged values as instruments increases computational efficiency without significantly detracting from its effectiveness. The Stata Journal is published quarterly by the Stata Press, College Station, Texas, USA. Specifically, RStudio allows me to complete all my research steps within a single program. Contents Illustrations xv Preface xvii Notation and typography xix 1 Introduction 1 1. How to run GMM model using STATA? Professor Nasiru Inuwa commented about construction of GMM using STATA below>> Running GMM in STATA can be done either using menu driven or command. I am using STATA command xtabond2 and system GMM for my very first project. nplloan,lag(25)collapse)nolevelsmallrobustFavoringspeedoverspace. mean-group, pooled mean-group and GMM estimators Resumé: The paper DSI30414 presented a panel estimation of manufactured exports using the new export market data described in DSI10513. For example: Inflation=B1*Expected_Inflation+B2*Output_Gap I have obtained B1 and B2 by using GMM estimation. The standard errors are the. Before working with panel data, it is adviseable to search for the Stata commands in the internet, if there is a. ado command by Mander (2006)imple- ments these alternative algorithms for the selection of a subset of targeted variables. Project appeared in the magazine Radiokit of March 2006. Multiple Equation GMM assumes that all equations are correctly speci-fied. 2, we added the ability to use margins to estimate covariate effects after gmm. The program ivgmm0 can be downloaded typing search ivgmm0 in the command line (see How can I use the search command to search for programs and get additional help? for more information about using search). I have recently performed a GMM estimations, my problem is that all the J-stats are 0. It is available for Windows and Mac OSX. dta'(打开面板数据). gpoisson, Poisson, count data, overdispersion, underdispersion 4 2012 12 December Stata Journal. T1 - Dynamic panel GMM using R. Christopher Baum (), Mark Schaffer and Steven Stillman () Statistical Software Components from Boston College Department of Economics. ) collapse) iv(i. Supports all standard Stata features: Frequency, probability, and analytic weights. Our theory allows for clustered observations with heterogeneous and unbounded cluster sizes. It provides the ability to do data analysis, data management and graphics and has features such as multiple imputation, factor variables, GMM, competing-risks regression, state-space modeling, predictive margins, and more. Object Moved This document may be found here. Department of Economics, Finance & Accounting. (2) Maximum likelihood estimators have the smallest variance in the class of consistent. Schaffer Economics Department Heriot-Watt University Edinburgh, UK m. It is now possible to easily use this method in R with the new gmm package. 提供STATA进行差分GMM估计实例文档免费下载,摘要:xtabond2npll. Reading dates into Stata and using date variables. Funding research in universities: do government resources act as a complement or substitute to industry funding? Economic Research-Ekonomska Istraživanja: Vol. This post was written jointly with Joerg Luedicke, Senior Social Scientist and Statistician, StataCorp. The specification of these models can be evaluated using Hansen’s J statistic (Hansen, 1982). Stata 16 is available to download. Let 80 denote the k x 1 parameter vector of interest, and let g,(/3) denote an m x 1 vector of moments that depends. 1 An overview of Stata's distinctive features 1 1. STATA COMMAND FOR PANEL DATA ANALYSIS. Since these are more or less unique to econometrics, this explains GMM atraction. The second part illustrates two applications of GMM, one a nonlinear model and the second a panel data application. Re (A), I don't understand what you mean by 'neither of the regressor. These range from simply. Hansen, Lars Peter, 1982. Schaffer Heriot–Watt University Steven Stillman New Zealand Department of Labour Abstract. Read "Mostly Harmless Econometrics". | Hello,Kindly inbox me first with the requirement before placing the order. It is the natural extension to GMM estimation of IV models. If your problem never converges, it may not be a bug in Stata and it may not be worthwhile letting it run forever. Re (A), I don't understand what you mean by 'neither of the regressor. The generalized method of moments (GMM) is a method for constructing estimators, analogous to maximum likelihood (ML). PY - 2019/1/1. This module may be installed from. Find out more. The by varlist: construct is reviewed, showing how it can be used to tackle a variety of problems with group structure. GMM Estimation in Stata. Unifying framework for comparison. Urga (2016), Stata Press. David Roodman (). Hansen, Lars Peter, 1982. m Windmeijer (2019) First-Stage Weighted GMM Blurb: this two-step procedure uses the residuals from a linear projection of endogenous variable on the instruments to weights the GMM moments \( E[Z^{\prime} u] \), allowing for clustering. ado command by Mander (2006)imple- ments these alternative algorithms for the selection of a subset of targeted variables. Stack Overflow for Teams is a private, secure spot for you and your coworkers to find and share information. ivreg2 has been Mata-ized and is noticably faster, in particular with time series and the CUE (continuously-updated) GMM estimator. I am using STATA command xtabond2 and system GMM for my very first project. Standard errors are estimated by bootstrapping. - If you use this package, please cite Abrigo and Love, 2015, Estimation of Panel Vector Autoregression in Stata: a Package of Programs. The exclusion restriction (condition 4) is redundant; it follows from conditions 2 and 3. The next step is to verify it is in the correct format. Regression and Related Models. First difference and system GMM estimators for single equation dynamic panel data models have been implemented in the STATA package xtabond2 by Roodman (2009) and some of the features are also available in the R package plm. This module may be installed from. Works with instrumental-variable and GMM estimators (such as two-step-GMM, LIML, etc. Linear Factor Models Stan Hurn Queensland University of Technology Hurn (QUT) Applied Financial Econometrics using Stata 1 / 40. However I'm using the difference and system GMM command of xtabond2. Colin Cameron Univ. 在Stata输入以下命令,就可以进行对面板数据的GMM估计。. Stata 手冊 GMM, ,寫得非常清楚。 Zsohar, P. But B2 is specified like that: B2=(1-B1)*(1-B2*B3) / B3 How can I obtain B3 by using Stata? I think I should use delta method with nlcom comand. More specifically, in an instrumental variable estimation context, the lars command. This is to help you more effectively read the output that you obtain and be able to give accurate interpretations. Installing community-contributed commands in Stata. uk Abstract. dta 为例,进行以下的 GMM 实验:4. The Delta Method GMM Standard Errors Regression as GMM Correlated Observations MLE and QMLE Hypothesis Testing Outline 1 The Delta Method 2 GMM Standard Errors 3 Regression as GMM 4 Correlated Observations 5 MLE and QMLE 6 Hypothesis Testing c Leonid Kogan ( MIT, Sloan ) Confidence Intervals and Tests 15. The GMM method: "twostep" is the two step GMM proposed by Hansen(1982) and the "cue" and "iterative" are respectively the continuous updated and the iterative GMM proposed by Hansen, Eaton et Yaron (1996) wmatrix. 10 years after Roodman's award winning Stata Journal article, this presentation revisits the GMM estimation of dynamic panel-data. In Stata, xtoverid is used on a test of overidentifying restrictions (orthogonality conditions) for a panel data estimation after xtreg, xtivreg, xtivreg2, or xthtaylor. Stata offers additional options not shown in the example above: twostep specifies that the two-step estimator is calculated instead of the default one-step. Lecture 15: Single Equation GMM and STATA Programs In Lecture Note 14, we have studied GMM estimations in term of systems of equations. The GMM estimators for the model parameters minimize a quadratic objective function based on the valid moment conditions, a weight matrix calculated from the inverse of the covariance, and initial parameter estimates obtained from GEE. For the latest version, open it from the course disk space. If that's what it says, then stay away from that book, it's much more harmful than it pretends. An introduction to GMM estimation using Stata David M. and Motohiro Yogo* Department of Economics, Harvard University June 2002 ABSTRACT. use "traffic. Keywords st0159 , xtabond2 , generalized method of moments , gmm , Arellano-Bond test , abar. In Stata 14. Models in GeoDaSpace. This one is broader than usual. Data Analysis Examples. Statistical Software Components from Boston College Department of Economics. - updated to Stata 12 - uses built-in Stata's gmm program that allows for expanded functionality (eg. Exporting ttest results from Stata to Word using asdoc Category: asdoc,Blog,Stata Programs,Uncategorized asdoc installation. The answer is that the expected returns should be high if the asset has a. In particular, instruments are assumed exogenous on an equation-by-equation basis rather than the 3SLS assumption that all instruments are exogenous in all equations. The Stata Journal is published quarterly by the Stata Press, College Station, Texas, USA. Blundell and Bond (1998) also report some results of a Monte Carlo study which investigates the finite sample properties of these GMM estimators in the AR(1) model. 32; AD9850. 10 years after Roodman's award winning Stata Journal article, this presentation revisits the GMM estimation of dynamic panel-data models in Stata. 在Stata 输入以下命令,就可以进行对面板数据的GMM 估计。 ssc install ivreg2 (安装程序ivreg2 ) ssc install ranktest (安装另外一个在运行ivreg2 时需要用到的辅助程序ranktest). To switch, type or click on mata: mata set matafavor space, perm. ivpois implements a Generalized Method of Moments (GMM) estimator of Poisson regression and allows endogenous variables to be instrumented by excluded instruments, hence the acronym for Instrumental Variables (IV) in its name. mean-group, pooled mean-group and GMM estimators Resumé: The paper DSI30414 presented a panel estimation of manufactured exports using the new export market data described in DSI10513. T1 - Dynamic panel GMM using R. Gmm With Stata - Free download as PDF File (. Abstract: xtabond2 can fit two closely related dynamic panel data models. Datasets used in the Stata documentation were selected to demonstrate how to use Stata. gmm obtains parameter estimates based on the initial weight matrix, computes a new weight matrix based on those estimates, reestimates the parameters based on that weight matrix, computes a new weight matrix, and so on, to convergence. ) but with different parameters. Applied Financial Econometrics using Stata 3. 293-326 "Linear Dynamic Panel-Data Estimation using Maximum Likelihood and Structural Equation Modeling. Stata 11 David M. The final version is in The Stata Journal Volume 18 Number 2: pp. 如果必要的话,我现在应该怎么做. Its syntax is much simpler than that of estout and, by default, it produces publication-style tables that display nicely in Stata's results window. igmm requests the iterative GMM estimator. BGPE Course: IV, 2SLS, GMM. As far as I can tell, the two programs in the code below are identical. 系统GMM:模型设定不当如何调整【待完善】 1 AR1不显著(10%) The insignificance of the AR1 test for no serial correlation in the first-differenced errors indicates that there is strong serial correlation in the level errors which in turn is a sign of model misspecification. The performance of the first-differenced GMM estimator in this AR(1) specifica- tion can therefore be seen to deteriorate as cu -+ 1, as well as for increasing values of (a2,/a,2). Using Loops to Define Missing Data Codes. For only $10, abdelhakachraf will do econometrics data analysis using stata, spss, r studio excel. In particular, instruments are assumed exogenous on an equation-by-equation basis rather than the 3SLS assumption that all instruments are exogenous in all equations. The Arellano-Bond (1991) and Arellano-Bover (1995)/Blundell-Bond (1998) linear generalized method of moments (GMM) estimators are increasingly popular. GMM的stata操作步骤 广义矩估计(GeneralizedMethod Moments,即GMM)一、解释变量内生性检验 首先检验解释变量内生性(解释变量内生性的 Hausman 检验:使用工具变 量法的前提是存在内生解释变量。. GMM is GLS with instrumental variables. Does any of you know a place where we can download a stata Do file that runs GMM to estimate some asset pricing consumption based model? I am interested in estimating the RRA and the time discount factor, as usual. This estimator is available in Stata as xtabond. STATA (Matt) Lecture S4: Mata, GMM - NLLS and GMM in Stata ML - Introduction to Mata - GMM in Stata using Mata - Using Mata in Stata effectively 11-12 pm Practice session S4 12pm-1pm LUNCH 1-3 pm STATA (Matt) Lecture S5: Large data sets and numerical precision - Tips/tricks - Breaking abstraction barrier - Using Mata when Stata won’t do. Our theory allows for clustered observations with heterogeneous and unbounded cluster sizes. Results using the two. 293-326 "Linear Dynamic Panel-Data Estimation using Maximum Likelihood and Structural Equation Modeling. Learning these commands is a time-consuming process but it is not hard. GMM moment conditions. 1 Estimation of panel vector autoregression in Stata: A package of programs Michael R. Baum Boston College Mark E. 86–102 Speaking Stata: How to move step by: step Nicholas J. IVREG29: Stata module for extended instrumental variables/2SLS and GMM estimation (v9) Christopher Baum (), Mark Schaffer and Steven Stillman (). These pages contain example programs and output with footnotes explaining the meaning of the output. depvar exo endo, gmm(L. Wepartition the set of regressors into [X1 X2], with the K1 regressors X1 assumed under the null to be endogenous, and the (K −K1)rmaining regressorse X2 assumed exogenous. GMM ESTIMATOR: βˆ =argmingˆ(β)0Aˆgˆ(β). which are your outcome and predictor variables). It also explains how to perform the Arellano-Bond test for autocorrelation in a panel after other Stata commands, using abar. They both have one-step and two-step variants and the new command is now: xtabond2. gmm(b=a, q, i) estimates the system SYS1 by GMM with a quadratic kernel, Andrews automatic bandwidth selection, and iterates simultaneously over the weight and coefficient vectors until convergence. The optimal weighting matrix, as shown by Hansen. The highlights are listed below. I have recently performed a GMM estimations, my problem is that all the J-stats are 0. Urga (2016), Stata Press. 在Stata 输入以下命令,就可以进行对面板数据的GMM 估计。 ssc install ivreg2 (安装程序ivreg2 ) ssc install ranktest (安装另外一个在运行ivreg2 时需要用到的辅助程序ranktest). STATA简介 2、学习使用 可以通过工具栏操作,但最好输入命令(只认 小写英文),按估计方法为GMM,包括差分GMM和系统 GMM 命令结构为:xtabond2 depvar varlist [ Eviews+ stata 分析 面板 数据的理论与 操作 一个文件全搞定. Panel Data (13): System GMM model in STATA. 2) uses the weighting matrix E(Wi′uiui′Wi), and the 3SLS estimator is asymptotically equivalent to the optimal GMM estimator under the assumption 5. nplloan,lag(25)collapse)nolevelsmallrobustFavoringspeedoverspace. Just specify your residual equations by using substitutable expressions, list your instruments, select a weight matrix, and obtain your results. In our GMM environment, we will have to specify the moment conditions as given in equation 1. • The OLS estimator is the GMM estimator based on E(xt•εt) = 0. Colin Cameron | 9781597180733 | 2010 from Kogan. First difference and system GMM estimators for single equation dynamic panel data models have been implemented in the STATA package xtabond2 by Roodman (2009) and some of the features are also available in the R package plm. An analogue to LIML for GMM? If GMM is based on E[g(y t; ) jz t] = 0, then in the LIML case we are providing a (linear) model, not dependent on , for the distribution of @[email protected] jz t. dta"(打开面板数据). #N#Descriptive Statistics. Fur-thermore, We derive the asymptotic variance formula for a kink con-strained GMM estimator of the dynamic threshold model and include. Using menu: 1. 用STATA做GMM指令 关键词:stata gmm、系统gmm stata 命令 有哪位知道GMM的指令不,stata盲刚学用这个软件不会,做论文时要用GMM来回归。 还想请教的是用GMM时一定是方程里存在滞后项才可以用GMM分析吗,怎么知道变量是不是内生性问题啊?. β Interpretation: Choosing βˆ so sample moments are close to zero. a separate slope coefficients for each individual). Drukker, available from SSC-Ideas. - Duration: 2 minutes, 12 seconds. In Stata 14. Colin Cameron and Pravin K. 450, Fall 2010 2 / 41. Running Stata on the Cluster. Econometrics I Ricardo Mora. It is free, open-source software. "IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation," Statistical Software Components S425401, Boston College Department of Economics, revised 23 Nov 2019. Dynamic Panel Estimation. methods to the same panel data set. Download PDF. When introduced in late 2003, it brought several novel capabilities to Stata users. Statistical Software Components from Boston College Department of Economics. Generalized Method of Moments (GMM) Estimation. David Roodman (). Note that this applies if you subsume IV methods into GMM, which is perfectly sensible thing to do. stata中关于xtabond2命令的使用环境、条件和方法的介绍。 abstract The Difference and System generalized method of moments(GMM) estimators, developed by Holtz-Eakin Newey, and Rosen(1988), Arellano and Bond(1991), Arellano and Bover(1995), and Blundell and Bond (1998), are increasingly popular. The difference and system generalized method-of-moments estimators, developed by Holtz-Eakin, Newey, and Rosen (1988. ado command by Mander (2006)imple- ments these alternative algorithms for the selection of a subset of targeted variables. As a result of its popularity, most statistical packages like Matlab, Gauss or Stata o er tool boxes to use the GMM procedure. More specifically, in an instrumental variable estimation context, the lars command. We provide a new R program for difference GMM, system GMM, and within-group estimation for simulation with the model we consider that is based on a standard first-order dynamic panel regression with individual- and time-specific effects. Where I need help is in the usage of the gmm() function in the {gmm} R package. gmm obtains parameter estimates based on the initial. 20 download. 本文来自: 人大经济论坛 Stata专版. Revised December 21, 2009 5/6-2 Outline. IV2SLS (endog, exog, instrument = None) [source] ¶. Don't Rush di Young T & Bugsey (feat. dta"(打开面板数据). The next step is to verify it is in the correct format. (Chudik and Pesaran, 2015) as well as IV/GMM-versions Tim developed as part of his PhD. 11 or above of ivreg2 is required for Stata 9; Stata 8. I want to create 10 lags for variables x and y. "IVREG2: Stata module for extended instrumental variables/2SLS and GMM estimation," Statistical Software Components S425401, Boston College Department of Economics, revised 23 Nov 2019. The Stata Journal. Basic Data Management in Stata. Endogenous variable, 1-dimensional or 2-dimensional array nobs by 1. The techniques and their implementation in Stata, a statistical software package widely used in the research community, are an important input to the careful applied research CGD advocates. Multiple Regression Analysis using Stata Introduction. loan, gmm(l. Next it shows how to apply these estimators with xtabond2. Econometrics I Ricardo Mora. Standard errors are estimated by bootstrapping. It covers topics left out of most. GMM được Lars Peter Hansen trình bày lần đầu tiên vào năm 1982 trong bài viết “Large Sample Properties of Generalized Methods of Moments Estimators” được đăng trong Econometrica, Vol. Installing community-contributed commands in Stata. Gmm With Stata - Free download as PDF File (. I try to estimate NKPC by using GMM estimation. Although we did not use Tim's code as part of the empirics for the paper. How to Do xtabond2: An Introduction to "Difference" and "System" GMM in Stata - Working Paper 103. esttab is a wrapper for estout. This way all the time series command will become functional. Our theory allows for clustered observations with heterogeneous and unbounded cluster sizes. A A When m= p,theβˆ with gˆ(βˆ)=0will be the GMM estimator for any Aˆ. Si svolgerà nel 2022. Going beyond the built-in xtabond command, xtabond2 implemented system GMM. David Roodman (). GMM uses assumptions about specific moments of the random variables instead of assumptions about the entire distribution, which makes GMM more robust than ML, at. It makes weaker assumptions about instruments than 3SLS does. Christopher F Baum (Boston College, DIW) IV techniques in economics and finance DESUG, Berlin, June 2008 2 / 49 As a different example. ) thanks to the ivreg2 routine by Baum, Schaffer and Stillman. Mediation with multilevel data. ssc install ivreg2 (安装程序ivreg2 ). Some datasets have been altered to explain a particular feature. AU - Phillips, Peter C. Labeling data, variables and values. LIML, JIVE (Jackknife IV), of k-Fuller are the ways to go if your instruments are borderline weak (Cragg-Donald or first-stage F are low) and/or you have many of them. ) thanks to the ivreg2 routine by Baum, Schaffer and Stillman. Instrumental variables estimation using Two-Stage Least-Squares (2SLS) Parameters endog ndarray. GMM uses assumptions about specific moments of the random variables instead of assumptions about the entire distribution, which makes GMM more robust than ML, at. ssc install ranktest (安装另外一个在运行ivreg2 时需要用到的辅助程序ranktest). will be in normal type. It is the natural extension to GMM estimation of IV models. Combining Stata data files. " Once they have been downloaded to your working directory, these STATA. As far as I can tell, the two programs in the code below are identical. An instrumental variable need not be a cause of X; a proxy of such cause may also be used, if it satisfies conditions 1-5. An introduction to GMM estimation using Stata David M. "Instrumental variables and GMM: Estimation and testing," North American Stata Users' Group Meetings 2003 05, Stata Users Group. GMM Estimation- class notes. Stack Overflow for Teams is a private, secure spot for you and your coworkers to find and share information. /* ** Using MATA Optimize ** GMM (Iterative) Estimation ** of gamma probability distribution */ clear set more off infile y10 ed using c:\course13\ec595\stata\yed20. ECONOMETRICS BRUCE E. 在对 gmm 命令的一般形式有了解之后,此处举个简单的案例来进行 gmm 的分析。以 Stata 自带的数据 auto. You can specify at most one of these options. In this package I have taken 150 of the most commonly used commands in Stata and directly mapped their syntax into R. How to perform panel GMM ,Generalized Methods of Moments (GMM) using stata - Duration: 24:47. ado files can be used just like built-in STATA commands. Using outreg2 to report regression output, descriptive statistics, frequencies and basic crosstabulations (v1. Non-convergence in Non-linear estimation Remember that convergence is rarely guaranteed for non-linear estimates. This one is broader than usual. loan, gmm(l. ItmadetheWindmeijer (2005) finite-sample correction to the reported standard errors in two-step estimation,. For pair-wise point set registration, one point set is regarded as the centroids of mixture models, and the other point set is regarded as data points (observations). depvar endo) iv(exo) depvar: 被説明変数. A complete and up-to-date survey of microeconometric methods available in Stata, Microeconometrics Using Stata, Revised Edition is an outstanding introduction to microeconometrics and how to execute microeconometric research using Stata. It also explains how to perform the Arellano-Bond test for autocorrelation in a panel after other Stata commands, using abar. zip for a working paper and examples of use. I try to estimate NKPC by using GMM estimation. Uses ivgmm0 by Christopher F. GMM moment conditions. 3); I'm hoping somebody can share anything they've learned attempting the same thing. Please, don't cite without permission. GMM estimation in Mata - Data Analysis and Statistical April 08, 2020.
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