Generalized method of moments estimators in Stata
AbstractStata 11 has new command gmm for estimating parameters by the generalized method of moments (GMM). gmm can estimate the parameters of linear and nonlinear models for cross-sectional, panel, and time-series data. In this presentation, I provide an introduction to GMM and to the gmm command.
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Bibliographic InfoPaper provided by Stata Users Group in its series DC09 Stata Conference with number 0.
Date of creation: 11 Aug 2009
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-16 (All new papers)
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- Blundell, Richard & Griffith, Rachel & Windmeijer, Frank, 2002. "Individual effects and dynamics in count data models," Journal of Econometrics, Elsevier, vol. 108(1), pages 113-131, May.
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