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st: generated regressor and GMM

From   Anselm Mattes <[email protected]>
To   [email protected]
Subject   st: generated regressor and GMM
Date   Wed, 16 Sep 2009 11:05:06 +0200

Dear Statalist,

I am trying to estimate a GMM (Blundell-Bond) model where one of my regressors has been estimated by a probit model in a first step. Wooldridge (2002), chap. 6 points out that the estimates are consistent, but standard errors need to be corrected. In appendix 6A (p. 139) he derives the corresponding formulas. Does anybody know, whether this (or another suitable) solution is implemented in Stata? I believe that the heckman (two step) command has built in something like this. Am I right?

I am aware that this question has already been posted, but that was some years ago and there was no solution given at that time. 

I appreciate any help!

Best regards,

Anselm Mattes
Email: [email protected]
Tel: 07071 - 9896 - 16
Institut für Angewandte Wirtschaftsforschung, Tübingen
Ob dem Himmelreich 1
72074 Tübingen
Tel: 07071 - 9896 - 0
Fax: 07071 - 9896 - 99

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