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st: Multiple equation GMM

From   Guodong Gao <[email protected]>
To   [email protected]
Subject   st: Multiple equation GMM
Date   Mon, 10 Jan 2005 23:34:48 -0500

Dear All,

I wonder how to use STATA to estimate a multiple equation GMM like the

Equation 1: Y1 = a1*X1+a2*X2. I have Z1,  Z2 and Z5 as instruments for X1 and X2

Equation 2: Y2 = a1*X3+a2*X4. I have Z3 and Z4 as instruments for X3 and X4.

Note that the coefficients of X1 and X3 are constrained to be the
same, and coefficients for X2 and X4 are the same.

Thank you very much for your attention.

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