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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.


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.



David McLaughlin
Research Assistant
Resources for the Future
1616 P Street NW
Washington, D.C. 20036

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