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Re: st: GMM error (bug in Stata?)


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GMM error (bug in Stata?)
Date   Sat, 29 Oct 2011 11:42:06 -0500

On Sat, Oct 29, 2011 at 11:33 AM, John Antonakis <John.Antonakis@unil.ch> wrote:
> Hi:
>
> I am trying to estimate "stacked" models using -gmm-. When I estimate the
> two models separately, things work fine (see code on the bottom of my
> e-mail). However, when I run the models jointly, with the following
> code...........
>
> gmm  ///
> (eq1: y - {b1}*x_style1 - {b2}*x_style2- {b3}*x_style3- {b4}*x_style4- ///
> {b5}*x_style5- {b6}*x_style6 - {b7}*x_style7- {b8}*x_style8- {b9}*x_style9-
> ///
> {b10}*x_style10- {b11}*x_style11- {b12}*x_style12- {b13}*x_style13- {b0})
> ///
>
> (eq2: y - {c1}*x_style1 - {c2}*x_style2- {c3}*x_style3- {c4}*x_style4- ///
> {c5}*x_style5- {c6}*x_style6 - {c7}*x_style7- {c8}*x_style8- {c9}*x_style9-
> ///
> {c10}*x_style10- {c11}*x_style11- {c12}*x_style12- {c13}*x_style13- {c0}),
> ///
>
> instruments(eq1: x_fe1 x_fe2 x_fe3 x_fe4 x_fe5 x_fe6 x_fe7 x_fe8 x_fe9 ///
> x_fe10 x_fe11 x_fe12 x_fe13 ) ///
>
> instruments(eq2:  x_clus1 x_clus2 x_clus3 x_clus4 x_clus5 x_clus6 x_clus7
> ///
> x_clus8 x_clus9 x_clus10 x_clus11 x_clus12 x_clus13) ///
>
> twostep winitial(unadjusted, indep) vce(cluster lead_n)
>

John, are the main equations identical? That's a strange model to
estimate, then. At the very least, the orthogonality of residuals from
the first equation and from the second equations to the intercept
would imply identical moment conditions, and that would be enough for
GMM to break down.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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