Generalized method of moments estimators in Stata
Stata 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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- Richard Blundell & Rachel Griffith & Frank Windmeijer, 1999.
"Individual effects and dynamics in count data models,"
IFS Working Papers
W99/03, Institute for Fiscal Studies.
- 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.
- Wooldridge, Jeffrey M., 1999.
"Distribution-free estimation of some nonlinear panel data models,"
Journal of Econometrics,
Elsevier, vol. 90(1), pages 77-97, May.
- Wooldridge, J.M., 1990. "Distribution-Free Estimation Of Some Nonlinear Panel Data Models," Working papers 564, Massachusetts Institute of Technology (MIT), Department of Economics.
- Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053, December.
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