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st: GMM estimation program for simultaneous equations with count data


From   chirag patel <chirag.patel@esc-rennes.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: GMM estimation program for simultaneous equations with count data
Date   Fri, 5 Aug 2005 11:23:14 +0200

Hi

I am trying to solve a system of simultaneous equations where the dependent
variable in both the equations is count data. I am trying to solve this problem
by modelling it as GMM type estimation so as to take into consideration the
exponential mean function.

*The simultaneous equations situation that I have is: *

y = exp (b0 + b1 x1 + b2 x2 + b3 x3 + b4 x4 + b5 x5 + b6 x6)
z = exp (b7+ b8 x1 + b9 x2 + b10 x3 + b11 x4 + b12 x5 + b13 x6 + b14 x7 + b15 y)

y = count data (0 to 11)
z = count data (0 to 6)
x1 = 0,1,2
x2, x3,x7 = continuous variables
x4,x5,x6 = nominal (0,1)

I wanted advise on the following  point:

1)What type of GMM estimation will solve the above system of equations.
 Has somebody developed a STATA program for such a GMM type estimation?


I have been advised that there is a user-written program called -qvf- that will
estimate IV versions of generalised linear models, including Poisson
regressions.  However, it estimates only single equations, not systems.

It would be very useful if somebody could help with appropriate STATA code.

Thanks
Chirag 

Chirag PATEL
Lecturer, Marketing Department
ESC Rennes (Rennes International School of Business)
Ph:0033 2 99334847
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