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st: continuously updated and 2-step GMM in time series models


From   "Mavroeidis, Sophocles" <Sophocles_Mavroeidis@brown.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: continuously updated and 2-step GMM in time series models
Date   Tue, 6 Sep 2005 12:43:14 -0400

Does anybody know if STATA can perform 2-step and continuously updated
(Hansen et al JBES 1996) GMM estimation of a time-series model using a
HAC estimator (e.g. newey-west) as weight matrix?

Thank you,

Sophocles


--------------------------------
Sophocles Mavroeidis                     tel: +1 (401) 863-2506
Assistant Professor                        fax:+1 (401) 863-1970
Department of Economics               email:
Sophocles_Mavroeidis@brown.edu
Brown University
64 Waterman Street
Providence, RI 02912
USA


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