Generalized method of moments estimators in Stata
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.
References listed on IDEAS
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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.
- Richard Blundell & Rachel Griffith & Frank Windmeijer, 1999. "Individual effects and dynamics in count data models," IFS Working Papers W99/03, Institute for Fiscal Studies.
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