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From |
László Sándor <sandorl@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: question: getting GMM working with a moment-evaluator program |

Date |
Thu, 1 Oct 2009 13:58:29 -0400 |

Hi all, I tried to write up a relatively simple GMM estimation, but I needed a moment-evaluator program to do some simulation for each evaluation (this basically becomes the method of simulated moments). I tried to follow of the example of David Drukker, presented in DC this summer (slides 23-26): http://www.stata.com/meeting/dcconf09/abstracts.html (A similar example is in the -help gmm- file too.) His GMM evaluator function is tailored for the application, thus uses some actual variable names, not locals coming from the command. I did the same (though I also needed to use Mata). Crucially, he had no varlist in his command either: "gmm xtfe ," (But mentioned a varlist in the syntax -- still, it worked for him.) Could you look into what goes wrong here? The error messages did not help me much. I don't know where is it expecting a varlist, and how I could provide it. (I admit I am not good with ado files yet.) The error: . gmm msm moment, nequations(1) parameters(cons hp weight ac) instruments(cons > hp weight ac cons2 hp2 weight2 ac2, noconstant) varlist required varlist required error calling msm moment at initial values varlist required (error occurred while loading msm.ado) r(100); The mata code defining the function that the evaluator function uses (this is in the main do-file, but the .mo is saved in the project's folder, so accessible for the ado-file too, I presume): cap drop deltastar sigma xi gen deltastar = 0 gen sigma = 0 gen xi = 0 mata: void fingerscrossed(real rowvector beta) { real scalar ns real vector d, sig, s, p, xi, y real matrix X, term ns = 1000 st_view(X,.,"cons hp weight ac") st_view(d,.,"deltastar") st_view(sig,.,"sig") st_view(s,.,"share") st_view(p,.,"price") st_view(xi,.,"xi") y = rnormal(1,ns,35000,45000) term = J(rows(d),ns,.) while (norm(log(s)-log(sig),2) > 0.01) { for (i=1;i<=ns;i++) { term[.,i] = exp(d - 1/exp(y[1,i])*p+X*beta') term[.,i] = 1/(1+quadsum(term[.,i]))*term[.,i] } sig = mean(term') d[.,.]=d[.,.] + log(s[.,.])-log(sig[.,.]) } xi = d-X*beta' } mata mosave fingerscrossed(), replace end Finally, the moment evaluator function itself (in a separate msm.ado file): program msm version 11 syntax varlist [if], at(name) quietly { cap drop deltastar sigma xi gen deltastar = 0 gen sigma = 0 gen xi = 0 matrix beta = `at' mata: beta = st_matrix("beta") fingerscrossed(beta) end replace `varlist' = xi `if' } end * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: question: getting GMM working with a moment-evaluator program***From:*"Brian P. Poi" <bpoi@stata.com>

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