Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | <adrien.Amzallag@ecb.int> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: Non-Linear Least Squares with Generalized Method-of-Moments |
Date | Thu, 10 Mar 2011 09:30:41 +0100 |
Dear Maarten cc All, Thanks for the suggestion, my question is exactly that: how to combine the two models in Stata? (i.e. how to estimate a non-linear model with GMM). There's the 'nl' command and the 'ivreg2, gmm2s' command but I'm not sure how to combine them. I'm also not sure I understand what you mean by 'stacking the moment conditions'. Thanks again for the help, Adrien -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis Sent: 09 March 2011 18:39 To: statalist@hsphsun2.harvard.edu Subject: Re: st: Non-Linear Least Squares with Generalized Method-of-Moments --- On Wed, 9/3/11, adrien.Amzallag@ecb.int wrote: > I'm running two separate specifications, one with > non-linear least squares (NLLS) and the other with > generalized method-of-moments (GMM) <snip> > I've been searching the internet and Stata books > (incl. the Cameron 'Microeconometrics using Stata') > but haven't found a way of combining the two > approaches, for example running the first-stage > regressions, taking the appropriate weighting matrix, > and using this into a non-linear second-stage equation. One idea would be to estimate the your non-linear model with GMM instead of non-linear least squares. That would probably make it easier to combine the two models, e.g. just stack the moment conditions. Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * 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/ Any e-mail message from the European Central Bank (ECB) is sent in good faith but shall neither be binding nor construed as constituting a commitment by the ECB except where provided for in a written agreement. This e-mail is intended only for the use of the recipient(s) named above. Any unauthorised disclosure, use or dissemination, either in whole or in part, is prohibited. If you have received this e-mail in error, please notify the sender immediately via e-mail and delete this e-mail from your system. * * 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/