st: Nonlinear GMM

["McLaughlin, David" <mclaughlin@rff.org>]

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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