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Re: st: IV command in system GMM


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV command in system GMM
Date   Mon, 6 Jun 2011 10:16:21 +0100

Now it becomes apparent that you are using -xtabond2- all along and
did not even mention that.

I've not used -xtabond2- (SSC), but the second comma looks incorrect.
A single comma separates options from what precedes them.

Please remember: You are asked to explain where user-written programs
you refer to come from.

In order to avoid wasting your own time as well as that of others with
incomplete and inefficient queries, please do actually read the
Statalist FAQ for its advice, as you were asked to do when you joined
the list. If you don't do this, more people will just delete your
queries as unanswerable.

Nick

On Mon, Jun 6, 2011 at 9:52 AM, lreine ycenna <lreine.ycenna@gmail.com> wrote:
> 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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