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Generalized method of moments estimators in Stata

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  • David Drukker

    (StataCorp LP)

Abstract

Stata 11 has the new command gmm for estimating parameters by 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," Mexican Stata Users' Group Meetings 2010 09, Stata Users Group.
    • Handle: RePEc:boc:msug10:09
    as

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    File URL: http://fmwww.bc.edu/repec/msug2010/mex10sug_drukker.pdf
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    References listed on IDEAS

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    1. 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.
    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, November.
    4. Wooldridge, Jeffrey M., 1999. "Distribution-free estimation of some nonlinear panel data models," Journal of Econometrics, Elsevier, vol. 90(1), pages 77-97, May.
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