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ExpEnd, A Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data

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Author Info

  • Frank Windmeijer

    ()
    (Institute for Fiscal Studies and University of Bristol)

Abstract

ExpEnd is a Gauss programme for non-linear generalised method of moments (GMM) estimation of exponential models with endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM for cross section data using moment conditions based on multiplicative or additive errors; within groups fixed effects Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and allowing for predetermined or endogenous regressors; and quasi-differenced GMM for a dynamic linear feedback model. This manual describes in detail the various estimators, the data and software requirements, and the programme commands. The programme can be downloaded here [zip file, 435KB].

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File URL: http://cemmap.ifs.org.uk/wps/cwp0214.pdf
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Bibliographic Info

Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP14/02.

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Length: 14 pp.
Date of creation: Aug 2002
Date of revision:
Handle: RePEc:ifs:cemmap:14/02

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Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
Phone: (+44) 020 7291 4800
Fax: (+44) 020 7323 4780
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Web page: http://cemmap.ifs.org.uk
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Cited by:
  1. Hyytinen, Ari & Takalo, Tuomas, 2008. "Consumer awareness and the use of payment media: evidence from young Finnish consumers," Research Discussion Papers 2/2008, Bank of Finland.
  2. Frank Windmeijer, 2006. "GMM for panel count data models," CeMMAP working papers CWP21/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. J Vernon Henderson & James Davis, 2004. "The Agglomeration of Headquarters," Working Papers 04-02, Center for Economic Studies, U.S. Census Bureau.
  4. Basu, Sandip & Phelps, Corey & Kotha, Suresh, 2011. "Towards understanding who makes corporate venture capital investments and why," Journal of Business Venturing, Elsevier, vol. 26(2), pages 153-171, March.
  5. Fidel Pérez Sebastián & Shiferaw Gurmu, 2007. "Patents, R&D And Lag Effects: Evidence From Flexible Methods For Count Panel Data On Manufacturing Firms," Working Papers. Serie AD 2007-03, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Andrés Romeu, 2004. "ExpEnd: GAUSS code for panel count-data models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 429-434.
  7. Grönqvist, Erik, 2006. "(M)oral Hazard?," Working Paper Series in Economics and Finance 642, Stockholm School of Economics.
  8. Carrión-Flores, Carmen E. & Innes, Robert & Sam, Abdoul G., 2013. "Do voluntary pollution reduction programs (VPRs) spur or deter environmental innovation? Evidence from 33/50," Journal of Environmental Economics and Management, Elsevier, vol. 66(3), pages 444-459.
  9. Hyytinen, Ari & Takalo, Tuomas, 2004. "Multihoming in the Market for Payment Media: Evidence from Young Finnish Consumers," Discussion Papers 893, The Research Institute of the Finnish Economy.

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