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From |
"Brian P. Poi" <bpoi@stata.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 1 Oct 2009 14:21:17 -0500 (CDT) |

On Thu, 1 Oct 2009, László Sándor wrote:

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.)

Laszlo wrote:

... varlist in his command either: "gmm xtfe ," (But mentioned a varlist in the syntax -- still, it worked for him.)

syntax varlist if, at(name) ...

Laszlo called -gmm- using the command . gmm msm moment, nequations(1) parameters(cons hp weight ac) instruments(cons hp weight ac cons2 hp2 weight2 ac2, noconstant)

. gmm msm, nequations(1) parameters(cons hp weight ac) instruments(cons hp weight ac cons2 hp2 weight2 ac2, noconstant)

-- Brian Poi -- bpoi@stata.com

**Follow-Ups**:**Re: st: question: getting GMM working with a moment-evaluator program***From:*László Sándor <sandorl@gmail.com>

**References**:**st: question: getting GMM working with a moment-evaluator program***From:*László Sándor <sandorl@gmail.com>

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