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st: Re: unbalanced panel regression wi/GMM


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: unbalanced panel regression wi/GMM
Date   Thu, 20 May 2004 07:59:26 -0400

On May 20, 2004, at 2:33 AM, Andrea wrote:



Dear Signe,
I know (and I've already used) that for stata 7 and 8 exhist an extension of
ivreg command called ivreg2 that allows for GMM and, in its more recent
version for Stata 8, also other types of estimators for dynamic panel, such
as Limeted Information maximum likeliohood. Ivreg2 is an extension of ivreg,
so it's useful also for that panel that are not dynamic but that are
affected from enogeneity problems.

Best Regards,
Andrea Sisto

It should be noted that despite its name ivreg2 will estimate OLS-type regressions (i.e. those in which endogenous regressors do not appear). It may be used to reproduce 'regress, robust' and 'newey' results, as well as extensions of these estimators making use of GMM methods. Please see our SJ 3(1) article (also available from http://ideas.repec.org): search for baum schaffer stillman).

Kit Baum
co-author ivreg2

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