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Re: st: GMM with inequality and equality constraints


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GMM with inequality and equality constraints
Date   Thu, 15 Mar 2012 10:50:51 -0400

Andrew <amarder@hbs.edu>:
Hard, I think.
Normally one imposes an inequality constraint via transformation which
clearly cannot work here.
Probably the easiest way is do the estimation without the constraint,
to see if the constraint binds,
and then if it does, reestimate with an equality constraint.


On Thu, Mar 15, 2012 at 10:40 AM, Marder, Andrew <amarder@hbs.edu> wrote:
> Dear statalisters,
>
> The generalized method of moments estimation in Stata is great!  It was wonderful how easy it is to estimate a nonlinear GMM model.  I am trying to replicate part of a paper that estimates a GMM model subject to equality and inequality constraints that look like:
>
> E[ alpha w_i + beta x_i ] = 0
> E[ gamma y_i + delta z_i ] >= 0
>
> How hard would it be to modify Stata's gmm function to accommodate constraints like these?
>
> Thanks, Andrew

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