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From |
Kit Baum <[email protected]> |

To |
"Shakill Hassan" <[email protected]> |

Subject |
st: GMM |

Date |
Thu, 15 Dec 2005 09:04:34 -0500 |

There is no general GMM procedure in Stata, although there are certainly other procedures (e.g., xtabond, xtabond2) which implement a GMM estimator.

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

On Dec 15, 2005, at 2:07 AM, Shakill Hassan wrote:

Could you please let me know if it is possible to get Stata to compute GMM

estimates without having to list the instrumental variables, from which the

package forms the sample moment condition? i.e. how (and if) can I: write

the moment conditions directly, specify the parameter names, and get Stata

to estimate them by minimizing the GMM criterion function?

If this is possible, could you recommend where I can get some explanations

and/or examples a little less cryptic then those in the Stata help file?

In none of the examples in the ivreg2 and ivgmm0 command (help) files is

there any obvious indication of how one specifies the moment conditions

(and how to specify what the parameters are). It gives the impression the

GMM facility in Stata (through ivreg2) is limited to IV estimation. Is there

no general GMM/optimization procedure where one can get the GMM parameters

from the moment conditions?

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