Dear list members,
Can any give some me some advice? I am working on a problem of
estimating demand equations for certain consumption goods from a cross
section household survey data. As I read from published research papers,
one way they use is GMM to allow for unknown form of heteroscedasticity.
It seems that I cannot find stata command for this method. Are there any
command in stata that can be used for GMM in simultaneous equations with
unknown form of heteroscedasticity? If yes, where I can find it? If no,
then are there any reasonably close substitute for it?
My model should be linear in parameters and the explanatory variables
will be the same across equations, with some explanatory variables
needed to be instrumented.
Thank you very much in advance!
Yours faithfully,
Chau Tak Wai
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
