On Fri, 13 Nov 2009, Anna Blank wrote:
Hello,
I have a problem understanding how -gmm- works in Stata 11 in the
cases when no instruments should be specified.
In particular, if I have to estimate a population moment, such as the
variance, from sample moments.
The GMM command in Stata should be able to do this as well as estimate
models require instruments. Does anyone have a suggestion for way of
implementing this using the -gmm-?
Just don't specify the instrument() option. Without the instrument()
option, -gmm- uses just a constant as the only instrument, which
allows you to fit moment conditions of the very general form
E[h(data; parameter)] = 0. In that case, the number of moment equations
must be at least as great as the number of parameters.
-- Brian Poi
-- [email protected]
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
