On May 20, 2004, at 2:33 AM, Andrea wrote:
Dear Signe,
I know (and I've already used) that for stata 7 and 8 exhist an
extension of
ivreg command called ivreg2 that allows for GMM and, in its more recent
version for Stata 8, also other types of estimators for dynamic panel,
such
as Limeted Information maximum likeliohood. Ivreg2 is an extension of
ivreg,
so it's useful also for that panel that are not dynamic but that are
affected from enogeneity problems.
Best Regards,
Andrea Sisto
It should be noted that despite its name ivreg2 will estimate OLS-type
regressions (i.e. those in which endogenous regressors do not appear).
It may be used to reproduce 'regress, robust' and 'newey' results, as
well as extensions of these estimators making use of GMM methods.
Please see our SJ 3(1) article (also available from
http://ideas.repec.org): search for baum schaffer stillman).
Kit Baum
co-author ivreg2
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