Thanks a lot to both of you guys,
D
>>> [email protected] 04/26 4:07 >>>
Diego,
Date sent: Mon, 26 Apr 2004 15:29:09 +0200
From: "Diego Rei" <[email protected]>
To: <[email protected]>
Subject: st: GMM and panel data
Send reply to: [email protected]
> Hello to all,
> I just wanted to ask you if there is a way to perform static gmm
> estimation with panel data in Stata. I know about the commands for
> the dynamic estimation, but I cant find anything for the static
> models.
-ivreg2- will do two-step feasible efficient GMM. It will
accommodate panel data but only to a limited extent (to be precise,
it will handle the panel structure correctly when asked for
autocorrelation-robust covariance estimation). The problem you'll
have is that to estimate with fixed effects you'll have to either use
explicit dummy variables or demean your data by hand.
Hope this helps.
--Mark
> Thanks a lot, HGD.
> Diego
>
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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