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Re: st: binary endogenous variable with panel data (call for GMM)


From   Robert Duval <rduval@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: binary endogenous variable with panel data (call for GMM)
Date   Wed, 23 Nov 2005 14:53:31 -0500

I want to join the call for a GMM routine in Stata... this is a big
gap from other software (e.g. LIMDEP). Models like Chamberlain's
approach to panel data are not easy to estimate because of this... The
econometrics literature has shifted in the last years away from ML and
is moving towards methods with less assumptions, among which GMM.
Hopefully Stata won't lag behind on this.

robert

On 11/23/05, Pierre Azoulay <pierre.azoulay@gmail.com> wrote:
> I believe the answer is no. The newey method only works with
> continuously distributed endogenous variables.
>
> In general, estimating non-linear panel data models with endogeneity
> requires GMM estimation. The idea is to treat the derivative of the
> log likelihood function as implicitly defining a moment condition.
> Unfortunately, Stata does not have a GMM routine at this point. It's
> really one of the only critical gaps in what is otherwise a wonderful
> package. I have a similar problem with count panel data models, and I
> am going to have to do all these analyses in TSP.
>
> Unfortunately, TSP does not handle weights, and TSP commands do not
> have an easy to use cluster() option either.
>
> Dr. Gould, Save us!
>
> Pierre
>
> Newey, Whitney K., "Efficient Estimation of Limited Dependent Variable
> Models with Endogenous Explanatory Variables" Journal of Econometrics,
> 36(3) November 1987, pp. 231-50.
>
> ---------------------------------------------------------------------------------------------------------
> Pierre Azoulay
> Associate Professor of Management
> Columbia University                           Phone: (212) 854-9684
> Graduate School of Business                Fax:   Don't send any
> 3022 Broadway, Uris Hall 704
> New York, NY 10023                        http://www.columbia.edu/~pa2009/
>
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