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

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 15 Feb 2010 08:22:16 -0600 (CST) |

On Mon, 15 Feb 2010, Ari Dothan wrote:

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.

-- Brian Poi -- bpoi@stata.com * * 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: Invalid Lags message - gmm, a system of two simultaneous equations***From:*"ari.dothan" <ari.dothan@gmail.com>

**References**:**st: Invalid Lags message - gmm, a system of two simultaneous equations***From:*Ari Dothan <ari.dothan@gmail.com>

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