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st: Invalid Lags message - gmm, a system of two simultaneous equations


From   Ari Dothan <ari.dothan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Invalid Lags message - gmm, a system of two simultaneous equations
Date   Mon, 15 Feb 2010 14:29:48 +0200

Dear Statalist participants,

The two equations are:

(1) C_t = B1*P_t-1 + B2*C_t-1 + B3*A_t-1 +  B4*CM_t-1 + alpha  +  u_it
(2) P_t = B5*C_t-1 + B6*P_t-1 + B7*PM_t-1 + alpha1 +  v_it

The first stage equation alone in Stata code:
gmm (D.C_t - {rho}*LD.C_t -{xb: LD.P_t LD.A_t  LD.CM_t}), xtinstruments(C_t,
lags (2/4)) instruments (LD.P_t LD.A_t  LD.CM_t , noconstant)
deriv(/rho=-1*LD.w10_or)  deriv (/xb=-1) winitial (xt D) onestep

Both stages are combined in Stata code:
gmm (eq:D.C_t - {rho1}*LD.C_t -{xb: LD.P_t LD.A_t  LD.CM_t}) (eq2:D.P_t -
 {rho1}* LD.P_t - {xc: LD.C_t  LD.PM_t-1}),
xtinstruments(eq1:C_t,lags(2/4)) (eq2:P_t, lags(2/4)) instruments
(eq1:LD.(P_t - A_t) LD.CM_t) instruments(eq2:LD.C_t LD.CM_t) deriv(eq1:/rho
= - 1*LD.C_t) (eq2:/rho1 = - 1*LD.P_t) deriv(eq1:/xb = -1) (eq2:/xc = -1)
winitial(xt D) wmatrix(robust) onestep

I am aware of the fact that I am trying to run 2 level equations and two
difference equations, and hope that I understand the procedure as explained
in the Stata manual on gmm.

The problem is that I get an "invalid lags" message.

I would much appreciate any help concerning this question.
Thanking you
Ari Dothan

-- 
Ari Dothan



-- 
Ari Dothan
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