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st: re: simultaneous estimation with GMM


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: simultaneous estimation with GMM
Date   Fri, 5 Aug 2005 08:05:25 -0400

Dear Mr Patel

Please obey the rules of the Statalist FAQ in not repeatedly posting a question, ESPECIALLY when it has already received a satisfactory answer!

http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/ statalist.0507/date/article-884.html

David Greenberg said, quite rightly, that there is no need to employ systems estimation techniques when you have a recursive system. This is true for continuous response variables, and it is just as true for count data. You can do what you want with single-equation estimation techniques. A full system estimator gains some efficiency at best, and does not affect consistency (or lack thereof) of your estimates.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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