Re: st: gmm with two equations and one parameter

["Brian P. Poi" <brian@poiholdings.com>]

On 06/07/2011 09:59 PM, Wu Zhang wrote:
> OK. I attach all the files.
>
> my gmm command is:
> gmm (gmm_poi2) (gmm_poi3), mylhs(y) myrhs(x)  instruments(1:d1, noconstant)
> instruments(2:d2, noconstant) vce(cluster id) myidvar(id) onestep

This represents a misunderstanding of the -gmm- syntax.  You are 
combining elements of the interactive version of -gmm- along with 
elements of the function evaluator program version.  If you write a 
program to evaluate your moment equations, then you write a single 
program that computes all of them; you cannot write separate programs 
for separate moment equations.  Second, if you write a function 
evaluator program, then you do not bind its name in parentheses; the 
parentheses indicate to -gmm- that you are typing a moment equation 
interactively with substitutable expressions.

Here is a trivial example:

-------
sysuse auto, clear


program	mygmm

        version	11

        syntax varlist [if] , at(name)

        local eq1 : word 1 of `varlist'
        local eq2 : word 2 of `varlist'

        quietly replace `eq1' = mpg - `at'[1,1] - `at'[1,2]*turn
        quietly replace `eq2' = mpg - `at'[1,1] - `at'[1,3]*head

end

gmm mygmm, nequations(2) nparameters(3)               ///
           instruments(turn head) winitial(identity)
-------


   -- 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/