Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: re: nonlinear iv

From   Christopher Baum <>
To   "" <>
Subject   st: re: nonlinear iv
Date   Tue, 10 May 2011 10:37:21 -0400

You didn't read the help for gmm very thoroughly.

The example in the help file (let alone the on-line manual) illustrates how to estimate the parameters of a nonlinear equation using instruments:

    Estimation of a consumption CAPM model with one financial asset, using
    first and second lags of consumption growth and two lags of returns as
    instruments (Hamilton 1994, sec. 14.2)
        . webuse cr, clear
        . generate clc = c / L.c
        . generate lcllc = L.c / L2.c
        . gmm (1 - {b=1}*(1+F.r)*(F.c/c)^(-1*{g})), inst(clc lcllc r L.r L2.r)


Kit Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |
*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index