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st: Call for volunteers to test "continuous updating" (CUE) in ivreg2
Hi everybody. We have a new feature for ivreg2 that we'd like some
people to test for us. It's the "continuously-updated GMM estimator"
(CUE) of Hanson-Heaton-Yaari (1996).
The CUE GMM estimator has been recommended by some on the grounds of
superior small-sample properties. -ivreg2- currently supports 2-step
feasible efficient GMM. Calculation of the CUE GMM estimator is done
in one step, in a manner of speaking - it has to be done using
numerical methods. We have a version of -ivreg2- that uses Stata's
maximum likelihood commands, -ml- et al., to do this.
I've experimented with it, and it seems to work, but isn't very fast.
Before releasing it, it would be very helpful to know if it is indeed
worth releasing, and to get some feedback from people on it.
If there a few volunteers out there who use ivreg2 and would be
willing to give this a try, can they get in touch with me off-list
and we will take it from there?
Thanks in advance.
Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3485 CERT administrator
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