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From |
Jason Turkiela <turkiela@uoregon.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: Issue with GMM moment conditions |

Date |
Tue, 14 May 2013 19:58:59 +0000 |

Dear Stata listers- I was wondering if someone may be able to make sense of an issue I am having running -gmm- in Stata 12.1-SE. Consider the code below which estimates a probit model using -gmm-: ********************************************************************** #delimit; *Bringing data in; use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz, clear; *Macros; local xb ({h0} + {h1}*educ + {h2}*kidslt6 +{h3}*age); local phi normalden(`xb'); local Phi normal(`xb'); *Probit in GMM - Example 1; gmm (eq1: (inlf - `Phi')*((`phi')/(`Phi')*(1-`Phi'))), instruments(eq1: educ kidslt6 age); *Probit in GMM - Example 2; gmm ((inlf - `Phi')*((`phi')/(`Phi')*(1-`Phi'))) ((inlf - `Phi')*((`phi')/(`Phi')*(1-`Phi'))*educ) ((inlf - `Phi')*((`phi')/(`Phi')*(1-`Phi'))*kidslt6) ((inlf - `Phi')*((`phi')/(`Phi')*(1-`Phi'))*age), winitial(identity); ********************************************************************** When I run Examples 1 and 2 above, the models yield identical results (i.e. coefficients and standard errors) which makes sense given that Example 1 is merely a more condensed version of Example 2. However, when I attempt a similar set up to estimate an OLS model, a problem emerges. Consider the following code: ********************************************************************** #delimit; *Bringing data in; use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz, clear; *OLS in GMM - Example 3; gmm (lwage - {b1}*educ - {b2}*hours - {b3}*faminc - {b0}), instruments(educ hours faminc); *OLS in GMM - Example 4; gmm (eq1: ((lwage - {b1}*educ - {b2}*hours - {b3}*faminc - {b0}))) (eq2: ((lwage - {b1}*educ - {b2}*hours - {b3}*faminc - {b0})*educ)) (eq3: ((lwage - {b1}*educ - {b2}*hours - {b3}*faminc - {b0})*hours)) (eq4: ((lwage - {b1}*educ - {b2}*hours - {b3}*faminc - {b0})*faminc)), winitial(identity); ********************************************************************** In this case, Example 3 runs fine, but Example 4 states that the GMM criterion is not concave and fails to estimate the model. Thus, I am puzzled why Example 4 is not able to be estimated given that Example 2 is. If at all possible, I would prefer to be able to list the moment conditions explicitly as in Examples 2 and 4 above. Is there something obvious I am missing? I am aware that the error is likely on my part, but if so, I genuinely do not know where it is. Thank you for any insight you can provide, Jason * * 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/

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