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st: RE: gmm vs gmm2s
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: gmm vs gmm2s
Date
Tue, 9 Mar 2010 23:17:25 -0000
Gary,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Gary D. Ferrier
> Sent: 09 March 2010 22:06
> To: [email protected]
> Subject: st: gmm vs gmm2s
>
> I replicated the gmm example based on the Griliches data from
> chapter 8 of IMEUS using ivreg2. The book uses gmm; when I
> ran the problem gmm was replaced by gmm2s:
>
> . use http://www.stata-press.com/data/imeus/griliches, clear
> . ivreg2 lw s expr tenure rns smsa _I* (iq = med kww age mrt), gmm2s
>
> The results (param estimates; test stats) differed a bit
> between gmm and gmm2s-I am wondering why? Different algorithms?
The old gmm = the new gmm2s + robust.
Cheers,
Mark
>
> Gary
>
>
>
> Gary D. Ferrier
>
> Department Chair and Holder of the Lewis E. Epley, Jr.
> Professorship in Economics
>
> Department of Economics
> Sam M. Walton College of Business
> Business Building, Room 402
> University of Arkansas
> Fayetteville, AR 72701-1201 USA
>
> tel. 1.479.575.6223
> fax 1.479.575.3241
>
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