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From | "Brian P. Poi" <brian@poiholdings.com> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: -gmm- and incorporate offset/exposure variable? |
Date | Tue, 11 Jan 2011 18:48:25 -0500 |
-----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of David Ward Sent: Tuesday, January 11, 2011 4:48 PM To: statalist@hsphsun2.harvard.edu Subject: st: -gmm- and incorporate offset/exposure variable? The article by Brian Poi starting on page 6 of Stata News (Vol. 25(2)) at http://www.stata.com/news/statanews.25.2.pdf contains an example on using -gmm- to estimate a Poisson model with instruments. *************************************************** . webuse docvisits, clear . gmm (docvis - exp({xb:private chronic female income}+{b0})), instruments(private chronic female age black hispanic) *************************************************** Is there an easy way to modify this to include an offset variable; that is, a variable that is constrained to enter with a coefficient equal to 1.0? Dave Ward ----------- Dave, To include an offset variable, just include it in the moment equation with an (implied) coefficient of one. Here's an example that uses an exposure variable from -help poisson-: . webuse dollhill3, clear . gen lnpyears = ln(pyears) . poisson deaths smoke, offset(lnpyears) vce(robust) . gmm (deaths - exp({b0} + {b1}*smokes + lnpyears)), instruments(smokes) Notice there is no parameter on lnpyears in the -gmm- command; the coefficient is by definition one. Also, that variable is not included in the list of instruments. In this example, -gmm- doesn't even converge when I do include lnpyears as an instrument, and I'm not sure whether it's a valid instrument or not--I suppose it depends on your application. The standard errors differ by a factor of sqrt{N/(N-1)}, where N is sample size, because -poisson- with the 'vce(robust)' option makes a small-sample adjustment but -gmm- does not. I didn't include an endogenous regressor in this example, but there's nothing special about including an offset variable that stops you from doing so. I hope this helps. -- Brian Poi -- brian@poiholdings.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/