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


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: continuously updated and 2-step GMM in time series models
Date   Tue, 6 Sep 2005 18:32:04 +0100 (BST)

findit ivreg2

will tell you the details.

Cheers,
Mark
(ivreg2 co-author)

>
> 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
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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