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st: Nonlinear GMM
From
"McLaughlin, David" <[email protected]>
To
<[email protected]>
Subject
st: Nonlinear GMM
Date
Fri, 12 Nov 2010 14:51:03 -0500
Hi All,
I was able to estimate the following equation in nl(), but replicating
these results using gmm() in Stata 11.1 has proved difficult.
y={b0}*(1-exp({gamma0}*x1)+{b1}*(1-exp({gamma0}*l1_x1)+{b2}*(1-exp({gamm
a0}*l2_x1)+{b3}*
(1-exp({gamma0}*l3_x1)+{alpha}*x2
Can the moment evaluator program version of gmm() estimate this
nonlinear function?
Note that: 1) it is nonlinear in the parameters; 2) there are more
parameters than covariates; 3) and the gamma0 parameter appears with x1
and its lags (l1_x1, l2_x1 and l3_x1).
My goal is to replicate the results of the nl() estimation prior to
using gmm() to instrument for x1.
Thanks,
Dave
David McLaughlin
Research Assistant
Resources for the Future
1616 P Street NW
Washington, D.C. 20036
202-328-5138
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