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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

  • Frank Windmeijer

    ()

    (Institute for Fiscal Studies and University of Bristol)

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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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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