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From |
Christoph Jäckel <christoph.jaeckel@wi.tum.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: How to incorporate several dependent variables to the moment evaluating function in gmm? |

Date |
Mon, 26 Nov 2012 15:30:58 +0100 |

Hello Stata experts, I'm just learning Stata and I'm struggling with the following problem. I want to map a time-series regression with several dependent variables into a GMM. Let's make a small example. I have two dependent variables y1 and y2 and one explaining factor x1. Then I get the following moments that should all be zero: E[(y1 - a1 - b1 * x1)] E[(y2 - a2 - b2 * x1)] E[(y1 - a1 - b1 * x1)x1] E[(y2 - a2 - b2 * x1)x1] where a1, a2, b1, and b2 are the parameters to estimate. I found this link on the list that deals with several equations in a GMM: http://www.stata.com/statalist/archive/2011-06/msg00363.html However, as far as I can see, the dependent variable is not changed. What I actually want: I want to pass a list of vectors to the moment evaluating function and create the relevant moments for each vector of that list. Those vectors are the dependent variables. I think it's clearer when I show you what I tried so far. _______________ sysuse auto, clear program mygmm version 12 syntax varlist [if] , at(name) mylhs(varlist) local eq1 : word 1 of `mylhs' local eq2 : word 2 of `mylhs' *Approach 1: Breaks with error "varlist not allowed" * quietly replace `eq1' = `eq1' - `at'[1,1] - `at'[1,3]*turn * quietly replace `eq2' = `eq2' - `at'[1,2] - `at'[1,4]*turn *Approach 2: Breaks with error "varlist not allowed" local j=1 foreach lhs of varlist `mylhs' { replace `mylhs' = `mylhs' - `at'[1,j] - `at'[1,2 + j]*turn j = j + 1 } end gmm mygmm, nequations(4) nparameters(4) mylhs(mpg headroom) instruments(turn) winitial(identity) _______________ Here, I took the example from the link above, but I am now trying to have two different dependent variables, namely mpg and headroom. I tried two approaches: the first is pretty similar to the one given in the link, the second just loops to the mylhs list. Both don't work, and I don't quite understand why. I hope I passed the arguments correctly, but to be fair, I'm not sure if I do. I don't quite get the syntax of the example in the link, to start with. What should a moment evaluating function do exactly? What should it return? In the examples I found, it always sets `varlist' to the moments that should be zero, which makes sense to me. For instance, here (http://www.stata.com/features/generalized-method-of-moments/gmm.pdf) on p. 27 the last line is replace `varlist' = `mylhs' - `mu'*`ybar'/`mubar' `if' I think I get this: `varlist' is set to an expression that depends on the parameters and then a search for the parameters is started that should sets `varlist' to zero (since Moments=Parameters). My problem is that my `varlist' is not just one vector as in the examples I found, but a list of factors. Note that the above example is simple enough to just give the formulas: _______________ #delimit ; gmm (mpg - ({alpha1=0} + {beta1=0}*turn)) (headroom - ({alpha2=0} + {beta2=0}*turn)) , inst (turn) onestep winitial(identity) ; #delimit cr _______________ However, I want to run more complicated models and therefore I need to know how to write moment evaluating functions correctly. Any help is greatly appreciated. Christoph * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: How to incorporate several dependent variables to the moment evaluating function in gmm?***From:*"Brian P. Poi" <bpoi@stata.com>

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