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st: Call for volunteers to test "continuous updating" (CUE) in ivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Call for volunteers to test "continuous updating" (CUE) in ivreg2
Date   Fri, 08 Oct 2004 17:46:06 +0100

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.

--Mark (+Kit+Steve)
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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