Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: GMM estimation: restricting parameter estimates


From   [email protected]
To   [email protected]
Subject   st: GMM estimation: restricting parameter estimates
Date   Wed, 29 May 2013 18:26:56 +0200

Dear Statalist Community,

I have N moment conditions of the form E[m*R(i)]=0 where m=a+b*Rvw. Basically, it's a panel where i refers to firm i. Rvw is the return on a value-weighted portfolio. R(i) stores the returns for firm i's stock. The STATA code looks something like this:

#delimit ;

gmm (({a}+{b}*Rvw)*R1)
(({a}+{b}*Rvw))*R2)
(({a}+{b}*Rvw))*R3)
, winitial(identity);

#delimit cr

a and b are the parameters which I would like to estimate. Now, what STATA does is it sets a=0 and b=0 and all N moment conditions are fullfilled. Obviously though, that is not the solution I am looking for.

Does anybody now how I can restrict the parameter estimates such that a!=0 and b!=0 ?


Thank you.

Markus







*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index