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st: GMM estimation: restricting parameter estimates


From   mibert@mail.uni-mannheim.de
To   statalist@hsphsun2.harvard.edu
Subject   st: GMM estimation: restricting parameter estimates
Date   Wed, 29 May 2013 18:26:56 +0200

Dear Statalist Community,

I have N moment conditions of the form E[m*R(i)]=0 where m=a+b*Rvw. Basically, it's a panel where i refers to firm i. Rvw is the return on a value-weighted portfolio. R(i) stores the returns for firm i's stock. The STATA code looks something like this:

#delimit ;

gmm (({a}+{b}*Rvw)*R1)
(({a}+{b}*Rvw))*R2)
(({a}+{b}*Rvw))*R3)
, winitial(identity);

#delimit cr

a and b are the parameters which I would like to estimate. Now, what STATA does is it sets a=0 and b=0 and all N moment conditions are fullfilled. Obviously though, that is not the solution I am looking for.

Does anybody now how I can restrict the parameter estimates such that a!=0 and b!=0 ?


Thank you.

Markus







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