Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: Nonlinear GMM

From   "Brian P. Poi" <[email protected]>
To   <[email protected]>
Subject   st: RE: Nonlinear GMM
Date   Sat, 13 Nov 2010 11:55:32 -0500

On Friday, November 12, 2010 2:51 PM McLaughlin, David wrote:

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

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.

You can use -gmm- to replicate the results of -nl-, and the help file for
-gmm- includes an example for the case of a probit model.  Notice that the
orthogonality conditions used in that example are based on the derivatives
of the regression function; you cannot just use the regressors in the model
as instruments.

-gmm- can easily estimate nonlinear models like yours assuming you have
valid instruments.  I think the confusion you are having arises from trying
to equate -gmm- as "-nl- with instruments."  That's not an accurate
comparison.  Davidson and MacKinnon's textbooks on econometrics (both the
1993 one and the newer one from 2005 or so) discuss nonlinear least-squares
and nonlinear instrumental variables in depth.

   -- Brian Poi
   -- [email protected]

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index