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st: Generalized Method of Moments (GMM) and applications


From   "Thomas Erdmann" <tom.erdmann@web.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Generalized Method of Moments (GMM) and applications
Date   Sun, 12 Nov 2006 16:48:09 +0100

Hi,

I was looking at Stata's GMM capabilities due to a specific task (see
below). What I found was basically the command family around -ivreg- and

-ivreg2- (-overid-, -ivendog-, -ivhettest-, -ivreset-, -condivreg-,
-ivgmm0-) as well as extension for panel use, like -xtivreg2- .

Any general comments on GMM and Stata would be welcome. 

To be more specific about what I was looking for: a more general GMM setup
to assess the equality of portfolios using the moment conditions
e1= R1 - MR; e2= R2 - MR; ...; e10 = R10 - MR 
where R1 to R10 are the return of ten decile portfolios and MR is the Mean
Return parameter to be estimated (over-identified equation with 10 moment
conditions and one parameter to be estimated)*. 

[Note: I am aware of the following alternative commands to check for
equality for portfolios available in Stata: -anova-, -oneway-, -kwallis-,
-kwallis2-, -nptrend-]

-Tom

* This method is for example described in "Filter rules based on price and
volume in individual security overreaction", M. Cooper, Review of Financial
Studies, (p.907) Vol.12 1999.

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