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Generalized method of moments estimators in Stata

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  • David M. Drukker

    () (StataCorp)

Abstract

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.

Suggested Citation

  • David M. Drukker, 2009. "Generalized method of moments estimators in Stata," DC09 Stata Conference 0, Stata Users Group.
  • Handle: RePEc:boc:dcon09:0
    as

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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., 2008. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9787111235767, May.
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