Pallab. It depends what you are looking for here. No general GMM command
exists in Stata. The Arellano-Bond GMM estimator for dynamic panel data is
available as 'xtabond'. I am a co-author of ivreg2 which estimates
Instrumental Variables and HOLS models using GMM. You can manually first
difference or mean difference your data (by hand or using the command
'xtdata') and run first difference or fixed effects IV-GMM models using this
command.
For more information, you will need to be more specific about what you are
hoping to estimate.
Steve
> -----Original Message-----
> From: [email protected] [SMTP:[email protected]]
> Sent: Sunday, August 03, 2003 4:40 PM
> To: [email protected]
> Subject: st: GMM in stata
>
> Hi
> I am wandering is there any built in command to do GMM estimation
> on panel data in STATA.
> Thank you in advance.
> pallab
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