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st: GMM estimation program for simultaneous equations with count data

From   chirag patel <[email protected]>
To   [email protected]
Subject   st: GMM estimation program for simultaneous equations with count data
Date   Sun, 31 Jul 2005 11:09:42 +0200


I am trying to solve a system of simultaneous equations where the dependent
variable in both the equations is count data. I am trying to solve this problem
by modelling it as GMM type estimation so as to take into consideration the
exponential mean function.

*The simultaneous equations situation that I have is: * 

y = exp (b0 + b1 x1 + b2 x2 + b3 x3 + b4 x4 + b5 x5 + b6 x6) 
z = exp (b7+ b8 x1 + b9 x2 + b10 x3 + b11 x4 + b12 x5 + b13 x6 + b14 x7 + b15 y) 

y = count data (0 to 11) 
z = count data (0 to 6) 
x1 = 0,1,2 
x2, x3,x7 = continuous variables 
x4,x5,x6 = nominal (0,1) 

I wanted advise on the following  point: 

1)What type of GMM estimation will solve the above system of equations.
 Has somebody developed a STATA program for such a GMM type estimation?

I have been advised that there is a user-written program called -qvf- that will
estimate IV versions of generalised linear models, including Poisson
regressions.  However, it estimates only single equations, not systems.

 It would be very useful if somebody could help with appropriate STATA code. 


Chirag PATEL 
Lecturer, Marketing Department 
ESC Rennes (Rennes International School of Business)
Ph:0033 2 99334847 

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