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st: GMM

From   Janine Darfield <>
Subject   st: GMM
Date   Wed, 24 May 2006 23:20:37 +0100 (BST)


I need to do some GMM estimation on panel data (which
has about 700 companies and about 40 quarters). I have
found 3 stata commands for doing GMM:
xtabond/xtabond2; ivreg, gmm / xtivreg, gmm; and
ivgmm0 (I hope I am correct that these are all ways of
estimating with GMM). Can anyone tell me what the
difference between the 3 methods is and which of these
is the "best" to use? And is there a way of getting an
equivalent result in these 3 methods (for example what
would be an equivalent specification, if any?)

I would be terribly grateful for any guidance as I
have tried to read the help files and other literature
but am still very confused about this.


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