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st: iv and xtnbreg/xtpoisson


From   Pierre Azoulay <pierre.azoulay@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: iv and xtnbreg/xtpoisson
Date   Mon, 20 Jun 2005 07:44:36 -0400

Dear Stata listers,

I need to estimate an IV version of a  panel data count model with
fixed effects (a la Hall, Hausman & Griliches). I believe that the
right approach for this problem is to look at the derivative of the
likelihood function as providing a set of moment conditions, and to
proceed using GMM. Has anyone programmed something like this in Stata?
It is rather easy to do in TSP (a package that has a great GMM
estimation routine), but I have made a rather large do-file investment
for this project, and would appreciate doing everything in my package
of choice...
 
Regards,
 
Pierre
 
----------------------------------------------------------------------------------------------
Pierre Azoulay
Associate Professor of Management
Columbia University                                Phone: (212) 854-9684
Graduate School of Business                    Fax:      Don't send any
3022 Broadway, Uris Hall 704                
New York, NY 10023                              
http://www.columbia.edu/~pa2009/

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