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RE: st: GMM error (bug in Stata?)
From
Cameron McIntosh <[email protected]>
To
STATA LIST <[email protected]>
Subject
RE: st: GMM error (bug in Stata?)
Date
Sat, 29 Oct 2011 22:50:11 -0400
John,
I'm pretty sure Stas has nailed the problem here, i.e. # of clusters < or = # of parameters which causes GMM to choke. See in particular section 2.5 in:
Baum, C.F., & Schaffer, M.E. (2003). Instrumental variables and GMM: Estimation and testing. The Stata Journal, 3(1), 1?-31.http://faculty.washington.edu/ezivot/econ583/sjpdf.pdf
and further developments.
Baum, C.F., Schaffer, M.E., & Stillman, S. (2007). Enhanced routines for instrumental variables/generalized method of moments estimation and testing. The Stata Journal, 7(4), 465-506.http://www.stata-journal.com/sjpdf.html?articlenum=st0030_3
I believe you are working with clustered cross-sectional rather than panel data models under GMM in this case, but you may also be interested in:
Mutl, J., & Pfaffermayr, M. (2011). The Hausman Test in a Cliff and Ord Panel Model. The Econometrics Journal, 14(1), 48-76.
which uses IVs and a spatial GMM approach (and a spatial Hausman test) to account for spatial correlations among sampled units.
My two cents,
Cam
> Date: Sat, 29 Oct 2011 17:40:31 -0500
> Subject: Re: st: GMM error (bug in Stata?)
> From: [email protected]
> To: [email protected]
>
> John,
>
> how many clusters do you have? May be you are running out of clusters
> in estimation of the weight matrix if you have fewer clusters than
> parameters.
>
> On Sat, Oct 29, 2011 at 11:56 AM, John Antonakis <[email protected]> wrote:
> > The goal of my estimation procedure is to make cross model comparison, where
> > the model have different instruments ( and given the clustering I have, I
> > want to have a generalized Hausman test hence the use of gmm). I want to
> > show that the second stage estimates don't change when I change the
> > instruments....it's a simulation study I am working on, hence the
> > "strangeness".
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
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