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Re: st: Using GMM with Moment-Evaluator Program


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Using GMM with Moment-Evaluator Program
Date   Tue, 16 Feb 2010 10:30:11 -0600 (CST)

On Tue, 16 Feb 2010, odongo kodongo wrote:

Dear all,

I am trying to run the following program, which in all respects, is similar
to the illustration given in the "Help GMM" of Stata 11/SE.

program tryagain
version 11
syntax varlist if, at(name) rhsvar(varlist) lhsvar(varlist)
quietly {
   tempvar xb
   generate double `xb' = 0 `if'
   local i = 1
   foreach var of varlist `rhsvar' {
       replace `xb' = `xb' + `at'[1,`i']*`var' `if'     // coefficients
       local `++i'
   }
   replace `xb' = `xb' + `at'[1,`i'] `if'                // constant term
   replace varlist = `lhsvar' - `xb' `if'                // model's residuals
}
end

When I run it, I get the following error messages:

error calling tryagain at initial values
variable varlist not found
r(111);

varlist is a local macro that you need to dereference, so this line:

    replace varlist = `lhsvar' - `xb' `if'                // model's residuals

should read

    replace `varlist' = `lhsvar' - `xb' `if'              // model's residuals


  -- Brian Poi
  -- bpoi@stata.com
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