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Generalized method of moments estimators in Stata

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  • David Drukker

    (StataCorp)

Abstract

Stata 11 has a 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.

Suggested Citation

  • David Drukker, 2010. "Generalized method of moments estimators in Stata," German Stata Users' Group Meetings 2010 06, Stata Users Group.
    • Handle: RePEc:boc:dsug10:06
    as

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    File URL: http://fmwww.bc.edu/repec/dsug2010/drukker.pdf
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    References listed on IDEAS

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    1. Wooldridge, Jeffrey M., 1999. "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, Elsevier, vol. 90(1), pages 77-97, May.
    2. 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.
    3. Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053.
    4. Hausman, Jerry & Hall, Bronwyn H & Griliches, Zvi, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," Econometrica, Econometric Society, vol. 52(4), pages 909-938, July.
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