? ================== evdgen ===================
proc evdgen sigres ;
? procedure to generate sigma_v in Arellano and Bond (1991) for
? 1-step estimator for the dynamic panel data model.
? This is used for estimating the variance of the parameter estimate
? and for generating the Sargan test for 1-step estimation.
? It is assumed that the disturbances in the model is homoscedastic
? cross-sectionally and over time.
? The sigma_v is the estimate of the variance of the disturbance
? for the first-differenced equations.
? sig_v = residual' residual / (#eq * #obs - #param)
? where residual is ((#eq * #obs) by 1) vector.
? When GMM 1-step estimation, implement
?   cov1stpd ... ani1 ;
?   mat ani1 = ani1 / 2 ;
?   gmm(..optcov ..) eqn ;
?   evdgen sr1 ;
?   set @gmmovid = @gmmovid / sr1 ;
?   mat @vcov = @vcov * sr1 ;
? by Yoshitsugu Kitazawa, (2001, 11, 2)
? ---------------------------------------------
  local resv sigresp np tn ;
  mat resv = vec(@res) ;
  mat sigresp = resv' resv ;
  mat tn = nrow(resv) ;
  length @rnms np ;
  set sigres = sigresp / (tn - np) ;
endproc evdgen ;
? ================== evdgen ===================