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st: GMM estimation.

From   Usman Gilani <>
To   "" <>
Subject   st: GMM estimation.
Date   Thu, 03 Jan 2013 11:30:26 +0000

Dear Al Feiveson,

thanks that is really helpful. 
below is the complete model that i'm interested in 

actually its a partial adjustment model 

y_(it)= (1-{b0})*y_(i.t-1)+{b0}*y*_(it) eq(1)

where y*_(it) is the desired value, 

 y*_(it)={a1}*w1_(it)+{a2}*w2_(it)+{a3}*w3_(it)+{a4}*w4_(it)+{a5}*w5_(it)+{a6}*w6_(it)+e_(it) eq(2)

{b0} is the speed of adjustment coefficient, which is a function of

 {b0}=(a0)*DP_(it) eq(3)

after substituting eq.(2) and eq.(3) in eq(1) i get the following

y_(it) = ({a0}*{a1}*w1_(it)*DP+(1-{a0}*DP)*y_(i,t-1)+{a0}*{a2}*DP_(it)*w2_(it)+{a0}*{a3}*DP_(it)*w3_(it)+{a0}*{a4}*DP_(it)*w4_(it)+{a0}*{a5}*DP_(it)*w5_(it)+{a0}*{a6}*DP_(it)*w6_(it))+DP*{a0}*e_(it)

so the final model has following 7 unknown parameters

now i'm interested in estimating the above model with GMM in STATA 12.

i'm putting the following equation in stata GMM equation box


my question, is that the correct way to input the equation ? because STATA giving me the error message "could not calculate numerical derivatives -- flat or discontinuous region encountered"  

please suggests me how can I perform this estimation 



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