Hello,
I am trying to use ivreg2 to perform efficient GMM. I would like for
ivreg2 to use the identity matrix as the weighting matrix in the first
step instead of inv(Z'Z). I realize that any positive definite matrix
will yield consistent estimates, but I was hoping that there would be
an undocumented option of some sort. I'd like to see how sensitive my
results are to different weighting schemes.
Thank you in advance for your help.
Dimitriy Masterov
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