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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: GMM with inequality and equality constraints |

Date |
Thu, 15 Mar 2012 10:52:32 -0400 |

The first one looks like the regular GMM equation to me. The second one is pretty much impossible to implement directly. You can introduce a Lagrange multiplier in front of it: E lambda[ gamma y_i + delta z_i ] = 0 You would probably run into identification problems and/or problems with the standard errors: if the constraint is active, then gamma and delta are not identified; if it is not, then lambda is identically zero, and would have to have a missing standard error. 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 > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: GMM with inequality and equality constraints***From:*"Marder, Andrew" <amarder@hbs.edu>

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