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st: re: nonlinear iv


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
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

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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