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st: Re: ivreg2 extensions

From   Kit Baum <>
Subject   st: Re: ivreg2 extensions
Date   Thu, 7 Aug 2003 09:24:14 -0400

On Thursday, Aug 7, 2003, at 02:33 US/Eastern, Luis wrote:

In the end of your reply you stressed that a version of ivreg2 is currently
under development which will provide 'ivgmmN', allowing for arbitrary
heteroskedasticity and serial correlation in the error process.

This will be a enormous help for the research four which I need to go
frequently out of Stata. Do you know something more about its availability
or other GMM procedures already available?
I am not aware of other GMM procedures currently available, beyond those provided by xtabond. The routine I mention is being tested by the ivreg2 team, spread over three continents and diverse holiday schedules. I cannot predict when it will be ready for release, although I would hope that we will have a fully-documented and reasonably well tested version to circulate in September. Obviously with these things getting it right is more important than getting it out the door (unless you're a convicted monopolist).

Thanks for your interest in our work.


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