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Rép. : Re: st: GMM and panel data


From   "Diego Rei" <g2inst@ilo.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   Rép. : Re: st: GMM and panel data
Date   Mon, 26 Apr 2004 16:10:33 +0200

Thanks a lot to both of you guys,
D

>>> M.E.Schaffer@hw.ac.uk 04/26 4:07  >>>
Diego,

Date sent:      	Mon, 26 Apr 2004 15:29:09 +0200
From:           	"Diego Rei" <g2inst@ilo.org>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	st: GMM and panel data
Send reply to:  	statalist@hsphsun2.harvard.edu 

> Hello to all,
> I just wanted to ask you if there is a way to perform static gmm
> estimation with panel data in Stata. I know about the commands for
> the dynamic estimation, but I cant find anything for the static
> models. 

-ivreg2- will do two-step feasible efficient GMM.  It will 
accommodate panel data but only to a limited extent (to be precise, 
it will handle the panel structure correctly when asked for 
autocorrelation-robust covariance estimation).  The problem you'll 
have is that to estimate with fixed effects you'll have to either use 
explicit dummy variables or demean your data by hand.

Hope this helps.

--Mark

> Thanks a lot, HGD.
> Diego
> 

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert 
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