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st: using macros in -gmm-

From   Daniel Borowczyk Martins <[email protected]>
To   [email protected]
Subject   st: using macros in -gmm-
Date   Wed, 10 Aug 2011 12:38:35 +0100

Dear stata users,

I am unable to male use of macros with the -gmm- stata command.

Here's an example.

1. Take a cross section data set with variables y and x.
2. I want to estimate an IV regression on the model "y constant x"
3. x is endogenous.
4. I use lags of x to instrument it. I define the  first and last lags
of the instrument set as two macros.

local first = 1
local last = 3

gmm (y - {b0} - {b1}*x1), instruments(l(`first'/`last').x1)

I get the following error "l(`first'/`last') numlist in operator invalid"

I tried with scalar rather than local and the same problem arises.

However, typing

gmm (y - {b0} - {b1}x1), instruments(l(1/3).x1)

works fine.

Now, if I define x1 as a local, we can see that -gmm- doesn't "read" macros.

local regressor "x1"

gmm (y - {b0} - {b1}*x1), instruments(l(1/3).`regressor')

I get the following message "Model not identified. There are more
parameters than instruments".

Is there anyway to circumvent this problem? I want to embed
estimations using -gmm- in a dofile that works with several locals....

Thanks in advance.
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