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st: Outlier-robust GMM


From   "Christopher Hartwell" <[email protected]>
To   <[email protected]>
Subject   st: Outlier-robust GMM
Date   Fri, 24 Jan 2014 11:32:54 +0400

Hi all,

Does Stata support an outlier-robust version of GMM estimation, such as that
proposed by Ronchetti and Trojani (2001)?  I?ve been searching but can?t
find it, and I don?t want to utilize a qreg regression due to limitations in
current (user-written) codes in allowing for multiple endogenous variables.

Reference:
Ronchetti, E. and Trojani, F. 2001, Robust Inference with GMM Estimators,
Journal of Econometrics, Vol. 101, 37-69.


Christopher A. Hartwell, PhD
Head of Economic Research
Institute for Emerging Market Studies (IEMS)
http://iems.skolkovo.ru/ 
http://skolkovo.academia.edu/ChristopherHartwell
http://institutionaleconomist.weebly.com/
In Moscow: +7 916 777 1260 (m)
In the US:    +1 202-415-6030 (m)
                        +1 773-724-2310 (t/f)
Skype: chartwel
[email protected] 



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