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Re: st: GMM method for Panel data

From   Nick Cox <>
Subject   Re: st: GMM method for Panel data
Date   Wed, 16 Jan 2013 10:50:41 +0000

Please respect the Statalist policy of using full real names.

A glance at the help for -xtivreg- shows that -xtivreg gmm- would work
if and only if -gmm- happened to be the name of your dependent
variable and in that case it wouldn't deliver GMM estimates.

. search gmm

will give you an idea of where to start reading.

This is not an endorsement of what you are trying to do, as I have no
idea whether it makes sense.


On Wed, Jan 16, 2013 at 10:16 AM, Qian <> wrote:

>        I have two instrumental variables to instrument one endogenous
> variable in a panel dataset, and the pagan and hall test indicates that
> there is heteroskedasticit for the two instrumental variables(IV)
> estimation, then GMM method is required to obtain the efficient estimators.
> So what's the command of GMM estimation for Panel dataset? I have tried
> "xtivreg gmm", but it doesn't work.
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