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From |
Atul Nepal <nepal2@illinois.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: NonLinear GMM using moment evaluator program |

Date |
Thu, 30 May 2013 23:16:18 -0500 |

Dear Stata Users, I am having trouble with the GMM moment evaluator program. I am using Stata 12 on Windows. This is my first attempt to use the moment evaluator program for non-linear GMM. I am new to statalist. My moment evaluator program is as follows: ___________________________________________ program mygmmprog syntax varlist if, at(name) quietly{ tempvar wmstar wfstar ystar lhm lhf tempname am1 am2 am3 am41 af1 af2 af3 af41 lm lf l1 scalar am1 = `at'[1,1] scalar am2 = `at'[1,2] scalar am3 = `at'[1,3] scalar am41 = `at'[1,4] scalar l1 = `at'[1,5] scalar lm = `at'[1,6] scalar lf = `at'[1,7] gen double `wmstar' = 0 gen double `wfstar' = 0 gen double `ystar' = 0 replace `wmstar' = (lm * Pz1z1)/ (l1 *Lm) replace `wfstar' = (lf * Pz1z1)/ (l1 *Lf) replace `ystar' = (P1z1/l1) -PzZ+ wm*Mm +wf*Mf + Y + `wmstar'*(Nm-Hm) + `wfstar'*(Nf-Hf) replace `varlist' = lhm - am1 * `wmstar' - am2 * `wfstar'- am3 * `ystar' - am41 * A1 } end ____________________________________________ *call to the program gmm mygmmprog, nequation(1) /// parameters(am1 am2 am3 am41 l1 lm lf) instruments(Pz1z1 Hm Hf Lm Lf Mm Mf Nm Nf wm wf Y PzZ P1z1 A1) winitial(identity) /// variables(Pz1z1 Hm Hf Lm Lf Mm Mf Nm Nf wm wf Y PzZ P1z1 A1) from(l1 0.1 lm 0.1 lf 0.1) _______________________________________________ The error message I am getting is "could not calculate numerical derivatives -- flat or discontinuous region encountered could not calculate numerical derivatives -- flat or discontinuous region encountered r(430);" I am not sure what should I do. I checked the derivative w.r.t parameters, they are the functions of data. When I set l1 lm and lf to a particular value and call the program in this way, gmm mygmmprog, nequation(1) /// parameters(am1 am2 am3 am41) instruments(Pz1z1 Hm Hf Lm Lf Mm Mf Nm Nf wm wf Y PzZ P1z1 A1) wmatrix(unadjusted) winitial(identity) /// variables(Pz1z1 Hm Hf Lm Lf Mm Mf Nm Nf wm wf Y PzZ P1z1 A1) warning: 1106 missing values returned for equation 1 at initial values Step 1 Iteration 0: GMM criterion Q(b) = 2.800e+09 Iteration 1: GMM criterion Q(b) = 1426.2411 Iteration 2: GMM criterion Q(b) = 1426.2411 Step 2 Iteration 0: GMM criterion Q(b) = .95962597 Iteration 1: GMM criterion Q(b) = .55574687 Iteration 2: GMM criterion Q(b) = .55574687 GMM estimation Number of parameters = 4 Number of moments = 16 Initial weight matrix: Identity Number of obs = 9884 GMM weight matrix: Unadjusted ------------------------------------------------------------------------------ | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- /am1 | .0077822 .0002379 32.72 0.000 .007316 .0082484 /am2 | -.0032615 .0001179 -27.66 0.000 -.0034926 -.0030304 /am3 | -1.83e-06 2.93e-07 -6.24 0.000 -2.40e-06 -1.25e-06 /am41 | 1.424702 .0091934 154.97 0.000 1.406683 1.442721 ------------------------------------------------------------------------------ Instruments for equation 1: Pz1z1 Hm Hf Lm Lf Mm Mf Nm Nf wm wf Y PzZ P1z1 A1 _cons I am getting the parameter estimates for am1 am2 am3 and am4, but I am interested in getting the values of l1 lm lf as well. I would greatly appreciate for suggestions on this. Sincerely, Atul * * 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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