Dear All,
I have a problem in implementing ivreg2. I am trying
to estimate a conditional CAPM
model using Panel GMM.
While applying GMM to asset pricing models, the moment
conditions, as specified by
the Stochastic Discount Factor (SDF) representation of
an asset pricing model, are
used.
Stata uses the exogeneity of the instruments to
specify the moment conditions.
I am using Stata 8, is there a way in which i can
specify the moment conditions
(other than the orthogonality (of the instrumental
variables and error) conditions ?
Thanking all in anticipation,
Abhilash S Nair
Senior Research Fellow
Department of Humanities and Social Sciences
Indian Institute of Technology Bombay.
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