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Generalized method of moments (GMM)

Stata makes generalized method of moments estimation as simple as nonlinear least-squares estimation and nonlinear seemingly unrelated regression.

Explore Stata 12’s resources on generalized method of moments.

Overview of GMM features in Stata 12

List of GMM features

Introduction to GMM with examples (from the Stata manual)

See Stata’s dialog box for gmm

Stata Journal articles

“How to do xtabond2: An introduction to difference and system GMM in Stata” by David Roodman (abstract)

“Enhanced routines for instrumental variables/generalized method of moments estimation and testing” by Christopher F. Baum, Mark E. Schaffer, and Steven Stillman (abstract)

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