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st: Easy N-equation GMM syntax

From   "Whelan, Paul" <>
To   "<>" <>
Subject   st: Easy N-equation GMM syntax
Date   Fri, 15 Feb 2013 13:49:51 +0000


I would like to estimate N linear equations in a GMM framework in order
to test the significance of some subset of parameters across equations. i.e., 
on a country by country basis individually I would do:

by country: ivreg2 Y X1 X2, bw(12) kernel(bartlett) robust

If N = 2, I would create individual Y's and X's for each N=1,2 and do :

gmm (eq1: Y_1 - {alpha01} - {beta11}*X11 - {beta12}*X12}), ///
(eq2: Y_2 - {alpha02} - {beta21}*X21 - {beta22}*X22}), ///
instruments(eq1: X11 X12) ///
instruments(eq2: X21 X22) ///

However, if N = 20 ... what is the efficient way of doing this ?

Many thanks
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