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st: obtaining first stage estimates (and tests) with GMM moment evaluator program
From
Nidhiya Menon <[email protected]>
To
[email protected]
Subject
st: obtaining first stage estimates (and tests) with GMM moment evaluator program
Date
Mon, 08 Jul 2013 16:10:53 -0400
I am using a moment-evaluator program version of gmm in Stata 11.2 SE, supplying
instruments, and using the iterative gmm estimator. I write to ask
whether it is possible to obtain the first stage estimates (and tests
for weak instruments like the Angrist-Pischke F stat) in such a set-up?
With ivreg2, the first stage and relevant tests are reported using the
"ffirst" option, is there something similar that can be done to obtain
these estimates with the moment-evaluator program version of gmm? I
searched the stata manuals and on-line, but could not find anything helpful.
Thanks in advance.
Sincerely,
Nidhiya
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