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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: is it possible to write explicit equation, GMM estimation with constraints ?? |

Date |
Wed, 17 Mar 2010 19:01:50 +0100 |

<> The -gmm- command was introduced in Stata 11, but see Austin`s talk in Chicago two years ago: http://www.stata.com/meeting/snasug08/nichols_gmm.pdf HTH Martin -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Halit Akturk Sent: Mittwoch, 17. März 2010 18:41 To: statalist@hsphsun2.harvard.edu Subject: st: is it possible to write explicit equation, GMM estimation with constraints ?? Dear all, I would like to run GMM estimation. I am using Stata10 (SE). I need a little bit of help. Is there any way to write down explicit equation for GMM estimation in Stata10? The equation I like to estimate has constraints in it so I couldn't really figure out how to run this using GMM or LIML (limited information max. likelihood). I specifically wanted to GMM estimate the following equation (it's a version of IS curve): x{t}=alpha*E{t}(x{t+1})-delta*[r-E{t}(pi{t+1})] Where alpha and delta are coefficients, X{t} is output gap measure at time t, r is nominal interest rate, E{t}(pi{t+1}) is expectation of future inflation rate in t+1. I am assuming rational expectations so expectational terms can be dropped and future values can be substituted in with future error terms which then makes r the only exogenous variable, expectational variables are endogenous. I want to use 4 lagged output gap and inflation variables as instruments to consistently estimate the expectational variables' coefficients. Here is what I have difficulty in doing in Stata10: ---Note that the second expectational term and r has the same coefficient, how do I tell Stata10 to recognize that? ---Is there any way to tell Stata10 to explicitly write down to equation I like to estimate? ---can I do summation or subtraction in the instrument list that I specified in stata10 inside the parenthesis? I tried running: ivreg28 x{t} ( x{t+1} r-pi{t+1} = ( L2.x{t+1} L3.x{t+1} L4.x{t+1} L1.pi{t+1} L2.pi{t+1} L3.pi{t+1} L4.pi{t+1} ), liml (which gives a syntax error) ivreg28 x{t} r ( x{t+1} pi{t+1} = ( L2.x{t+1} L3.x{t+1} L4.x{t+1} L1.pi{t+1} L2.pi{t+1} L3.pi{t+1} L4.pi{t+1} ), liml (which runs well but then coefficients for r and pi{t+1} are different.) Thanks all for your help. halo. * * 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/ * * 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/

**References**:**st: is it possible to write explicit equation, GMM estimation with constraints ??***From:*"Halit Akturk" <halitakturk@gmail.com>

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