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st: RE: moment condition ivreg2

From   "Steve Stillman" <[email protected]>
To   <[email protected]>
Subject   st: RE: moment condition ivreg2
Date   Thu, 7 Jul 2005 20:49:09 +1200

Dear Abhilash,  I am afraid ivreg2 will not do what you are looking to do.  It is a command designed solely to run instrumental variables regression using a variety of methods and cannot be used to run more general GMM models. 


-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of abhilash nair
Sent: Thursday, July 07, 2005 7:37 AM
To: [email protected]
Subject: st: moment condition ivreg2

Dear All,

I have a problem in implementing ivreg2. I am trying
to estimate a conditional CAPM
model using Panel GMM. 

While applying GMM to asset pricing models, the moment
conditions, as specified by
the Stochastic Discount Factor (SDF) representation of
an asset pricing model, are

Stata uses the exogeneity of the instruments to
specify the moment conditions.

I am using Stata 8, is there a way in which i can
specify the moment conditions
(other than the orthogonality (of the instrumental
variables and error) conditions ?

Thanking all in anticipation,

Abhilash S Nair
Senior Research Fellow
Department of Humanities and Social Sciences
Indian Institute of Technology Bombay.

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