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Re: st: gmm --> nkpc


From   Michael Hanson <[email protected]>
To   [email protected]
Subject   Re: st: gmm --> nkpc
Date   Tue, 12 Jun 2007 02:19:53 -0400

On Jun 12, 2007, at 12:00 AM, Sebastian Kruk wrote:

Hi stata's users! I am new.
Then you should start by reading the FAQ:

<http://www.stata.com/support/faqs/res/statalist.html>

Section 3 is particularly relevant for you, as I suspect several list members will point out (if they don't simply ignore you, given that you have broadly ignored the advice there....).



I would like to fit a new keynesian curve
Quoting from section 3 of the FAQ:

"Many questions will be of interest to only some Statalist members. Always recall that members come from many different sciences. Try to show a little sensitivity to those noneconometricians,..."

Given your subject line -- and my own expertise -- I happen to know that you are referring to a "New Keynesian Phillips Curve". Be considerate of the fact that most people on this list will neither know nor care much about that particular macroeconomic topic.



using generalized moment method.
Perhaps you meant to ask how to conduct generalized method of moments (GMM) estimation in Stata? Typing -findit gmm- on the command line of Stata (note the convention for referring to Stata commands on Statalist, mentioned in the above-referenced FAQ) would turn up several options. -ivreg2- is probably your best bet with Stata 9.x. Note that Stata 10, which will be released at the end of this month, features a new set of commands for estimating models with endogenous regressors; see, e.g., <http://www.stata.com/help.cgi? ivregress>.

That said, I presume you are aware of the growing literature on the potential problems of using GMM techniques to estimate this class of dynamic macroeconomic relationships. See, for example,

<http://www.bos.frb.org/economic/wp/wp2004/wp042.pdf>
<http://www.atl-res.com/~nason/pdf/wp0501.pdf>



Bye. Sebas
Hope this helps. I take it this is not your web site: <http:// www.sebastiankruk.com/>.

-- Mike

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