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re: st: question about Lewbel's (1997) method


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: st: question about Lewbel's (1997) method
Date   Fri, 27 Jan 2012 12:58:57 -0500

<>
Jose said

> Dear list members,
> 
> I'm trying to estimate an instrumental variables regression using the
> Lewbel (1997) for obtaining the higher moments of endogenous variables
> when there are no good instruments. Stata's 'ivreg2' command estimates
> the IV-GMM estimator. Does ivreg2 implement Lewbel's method? If not,
> how can I go about implementing it?

This is a repost of a question he asked me directly, to which I responded (on 23 January)

> Jose,
> 
> For clarification, please see the Baum-Schaffer-Stillman papers cited in the ivreg2 help file (Stata J 2003, 2007). Standard IV and IV-GMM differ. Whether you can implement Lewbel's method using IV-GMM I do not know.
> 
> Thanks
> Kit

I'm not sure why he is not satisfied with an answer from one of the authors of ivreg2, unless he's hoping that one of the other authors of ivreg2 will 
contradict my advice. 

Kit

Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html


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