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re:Re: st: is it possible to write explicit equation, GMM estimation


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   re:Re: st: is it possible to write explicit equation, GMM estimation
Date   Wed, 17 Mar 2010 19:54:38 -0400

Halit said

I have just updated to ivreg2 and run liml estimation similar to the
way you explained to me via the example and the results look great!


LIML makes strong distribution assumptions of normality and, thus, IID errors. I would also run it with the options I speciifed
(gmm2s robust bw(4))  to evaluate whether those assumptions are biasing your standard errors. IV-GMM with HAC standard errors will be resistant to deviations from IID.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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