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st: GMM: 2SLS with over-identification


From   Edward Norton <ecnorton@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: GMM: 2SLS with over-identification
Date   Tue, 20 Apr 2010 22:33:03 -0400

Dear Listers,

In Stata 11 -gmm-, is it possible to estimate an over-identified 2SLS
model in which some observations have fewer than the full number of
instruments?  This is possible when estimating a dynamic panel model
(with either -gmm- or -xtabond-).  The online Stata manual says:

"-gmm- automatically excludes observations for which there are no valid
observations for the panel-style instruments. However, it keeps in the
estimation sample those observations for which fewer than the maximum
number of instruments you requested are available. For example, if you
specify the lags(2/4) suboption, you have requested three instruments,
but -gmm- will keep observations even if only one or two instruments are
available."

I would like to be able to do something similar, but for 2SLS
(over-identified).  Is that possible?
    Edward Norton
    University of Michigan
    ecnorton@umich.edu

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