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st: ivreg2 gmm or cue options and initial values


From   Lukas Mohler <Lukas.Mohler@unibas.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2 gmm or cue options and initial values
Date   Mon, 7 May 2007 15:15:33 +0200

Dear Statalisters,

I have a question regarding the ivreg2 command. I'd like to estimate a model
with a constant and two endogenous variables which are instrumented by up to
150 instruments (All of them are dummies. If you want to know why I do this,
see: Broda and Weinstein, Globalization and the Gains from Trade, The Quarterly
Journal of Economics, May 2006). So I estimate the following:

ivreg2 y (x1 x2=z1 z2 z3 z4 ... z150), gmm robust

This, of course, is not a problem. But now I want to restrict the coefficient of
x1 to take only positive values (why: see paper mentioned above...). In other
words I need to perform a grid search over values from zero to, say, 150 in
specified steps. If I understood the help file of ivreg2 correctly, this should
be possible with the cue option where I can specify the initial values.

My first question is: Is it correct that the cue option allows for a grid search
between specified values? If not, does anybody know of commands that make that
possible or even of another software package?

Secondly, if I use the following command:

ivreg2 y (x1 x2=z1 z2 z3 z4 ... z150), cue cueinit(b) cueoptions(???) robust

I have read the ml help and tried to pass options to the ml routine, but I
always get the error message "invalid syntax". How can I correctly pass the
options to perform my search?

Thanks.

Lukas


---
Lukas Mohler
Abteilung Aussenwirtschaft und Europäische Integration
Wirtschaftswissenschaftliches Zentrum
Universität Basel
Petersgraben 51
4003 Basel
Switzerland
+41 61 267 07 70
---


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