RE: st: Non-Linear Least Squares with Generalized Method-of-Moments

[<adrien.Amzallag@ecb.int>]

Dear Maarten cc All,

Thanks for the suggestion, my question is exactly that: how to combine
the two models in Stata? (i.e. how to estimate a non-linear model with
GMM). There's the 'nl' command and the 'ivreg2, gmm2s' command but I'm
not sure how to combine them. I'm also not sure I understand what you
mean by 'stacking the moment conditions'.

Thanks again for the help,

Adrien




-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis
Sent: 09 March 2011 18:39
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Non-Linear Least Squares with Generalized
Method-of-Moments


--- On Wed, 9/3/11, adrien.Amzallag@ecb.int wrote:
> I'm running two separate specifications, one with
> non-linear least squares (NLLS) and the other with
> generalized method-of-moments (GMM)
<snip> 
> I've been searching the internet and Stata books 
> (incl. the Cameron 'Microeconometrics using Stata')
> but haven't found a way of combining the two
> approaches, for example running the first-stage
> regressions, taking the appropriate weighting matrix,
> and using this into a non-linear second-stage equation.

One idea would be to estimate the your non-linear model
with GMM instead of non-linear least squares. That would
probably make it easier to combine the two models, e.g.
just stack the moment conditions.

Hope this helps,
Maarten

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

http://www.maartenbuis.nl
--------------------------


      

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