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Re: st: IV command in system GMM


From   lreine ycenna <lreine.ycenna@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV command in system GMM
Date   Mon, 6 Jun 2011 09:52:04 +0100

Thanks for the reply.
Yes, I'm actually self-teaching now how to run a system GMM estimation.
So my attempt is prone to mistakes...
I'm running a linear regression.
In OLS, it would be:
regress y a b c axb axc

To run a system GMM, if I understood correctly, the bracket next to
gmm are endogenous variables, and the bracket next to iv should list
exogenous variables. So my first attempt would be:

xtabond2 y a b c axb axc, gmm (b c), iv (a axb axc) nolevel robust

After this, the 'invalid iv' popped up. (I have previously installed xtabond2).

Is my s-GMM command correct?



On 6 June 2011 09:00, Nick Cox <njcoxstata@gmail.com> wrote:
> -ivregress- is part of official Stata; thus you need not and can not
> install it from outside.
>
> -ivreg2- is a user-written counterpart from SSC.
>
> I don't know that there is any -iv- command. What makes you think there is one?
>
> Comment on your error message is difficult as you don't show us the
> code you used or tell us anything about your data.
>
> Nick
>
> On Mon, Jun 6, 2011 at 8:50 AM, lreine ycenna <lreine.ycenna@gmail.com> wrote:
>
>
>> I'm trying out system GMM estimation where an error message popped up
>> saying 'invalid iv'. I tried to install the command ivregress by using
>> ssc install ivregress, but I got a ' ivregress is not found at ssc'.
>> It seems that I will need to first install the IV command in Stata.
>> How do I do that?
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