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Re: st: ivregress igmm

From   Maarten buis <>
Subject   Re: st: ivregress igmm
Date   Mon, 16 Aug 2010 06:30:02 +0000 (GMT)

--- On Mon, 16/8/10, nil sen wrote:
> What is the correct code for ivregress igmm (iterated
> gmm)?
> When I am using -ivregress igmm depvar [varlist1] (varlist2
> = varlist_iv)- this is giving me the error  r(198) with
> the message 'igmm is not a valid estimator'. 

The syntax diagram used in the Stata helpfiles have a couple
of conventions, [] indicate that everything within those are
optional, these brackets should thus not be typed (the
exception is that weights should be specified with the 
brackets). There is a syntax element that is specific to 
-ivregress- called the estimator. The help-file list the 
allowed estimators, which does not include igmm, so that is
consistent with what the error message told you.

Stata commands often contain two parts separated by one 
comma: the part before the comma is the main command, while 
the part after the comma is a list of options. One of the
allowed options of -ivregress- is -igmm-, so all you need 
to do is specify your main command (using gmm as the 
estimator), and than type -, igmm-, as in the example

*------------ begin example -----------------
webuse hsng2
ivregress gmm rent pcturban (hsngval = faminc i.region), igmm
*-------------- end example -----------------

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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