Dear All,
I wonder how to use STATA to estimate a multiple equation GMM like the
following:
Equation 1: Y1 = a1*X1+a2*X2. I have Z1, Z2 and Z5 as instruments for X1 and X2
Equation 2: Y2 = a1*X3+a2*X4. I have Z3 and Z4 as instruments for X3 and X4.
Note that the coefficients of X1 and X3 are constrained to be the
same, and coefficients for X2 and X4 are the same.
Thank you very much for your attention.
Gordon
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