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RE: RE: st: RE: GMM estimation: restricting parameter estimates

From   "Bley N'Dede" <>
To   "" <>
Subject   RE: RE: st: RE: GMM estimation: restricting parameter estimates
Date   Tue, 25 Jun 2013 17:10:08 +0000

Thank you very much Kit; 
I have tried to that before ut were not able to find the right way to set it up or the right command; Here is my original command for the gmm estimation (solow growth model):
method 1: gmm (y-{b0} - {b1}*a-{b2}*k-{b3}*h-{b4}*v), instruments(z1 z2 z3 z4 z5)
method 2: xtabond y a k h v lags(1) artests(2)

now my question is how to put the constraints on the command above? also, is it possible to run a gmm estimation and fixed effects (FE) model? because tafter running the Hausman test, I found FE more appropriate.

I have found the constrained regression but I am not familiar 
constraint 1 _b[k]  + _b[h] + _b[v] = 1
cnsreg y a k h v, constraints (1)

when using the above comments, all the coefficients sum up to one. But it's not a GMM estimation. 

How do I put a constraint on the parameters if I want to use a GMM estimation?

Thanks for your help.

Notes: I am using STATA 12
           Hausman test report FE more efficient


From: [] on behalf of Christopher Baum []
Sent: Tuesday, June 25, 2013 2:25 PM
Subject: Re: RE:  st: RE: GMM estimation: restricting parameter estimates

On Jun 25, 2013, at 8:33 AM, Bley wrote:

> I am trying to estimate a growth model using also gmm estimation. I would like to set the sum of three parameters equal to one. could you please help me in this matter.

That one's easy. If b1 + b2 + b3 = 1, then you can only estimate two of them, and the third you substitute as (1 - b1 - b2).


Kit Baum   |   Boston College Economics & DIW Berlin   |
                            An Introduction to Stata Programming  |
 An Introduction to Modern Econometrics Using Stata  |

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