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:
> [email protected]
> 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: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
__________________________________________________________________
DISCLAIMER:
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__________________________________________________________________
*
* 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/
