Re: st: gmm --> nkpc

[Michael Hanson <mshanson@mac.com>]

On Jun 12, 2007, at 12:00 AM, Sebastian Kruk wrote:

> Hi stata's users! I am new.
	Then you should start by reading the FAQ:

<http://www.stata.com/support/faqs/res/statalist.html>

Section 3 is particularly relevant for you, as I suspect several list  
members will point out (if they don't simply ignore you, given that  
you have broadly ignored the advice there....).



> I would like to fit a new keynesian curve
	Quoting from section 3 of the FAQ:

"Many questions will be of interest to only some Statalist members.  
Always recall that members come from many different sciences. Try to  
show a little sensitivity to those noneconometricians,..."

Given your subject line -- and my own expertise -- I happen to know  
that you are referring to a "New Keynesian Phillips Curve".  Be  
considerate of the fact that most people on this list will neither  
know nor care much about that particular macroeconomic topic.



> using generalized moment method.
	Perhaps you meant to ask how to conduct generalized method of  
moments (GMM) estimation in Stata?  Typing -findit gmm- on the  
command line of Stata (note the convention for referring to Stata  
commands on Statalist, mentioned in the above-referenced FAQ) would  
turn up several options.  -ivreg2- is probably your best bet with  
Stata 9.x.  Note that Stata 10, which will be released at the end of  
this month, features a new set of commands for estimating models with  
endogenous regressors;  see, e.g., <http://www.stata.com/help.cgi? 
ivregress>.

	That said, I presume you are aware of the growing literature on the  
potential problems of using GMM techniques to estimate this class of  
dynamic macroeconomic relationships.  See, for example,

<http://www.bos.frb.org/economic/wp/wp2004/wp042.pdf>
<http://www.atl-res.com/~nason/pdf/wp0501.pdf>



> Bye. Sebas
	Hope this helps.  I take it this is not your web site:  <http:// 
www.sebastiankruk.com/>.

					-- Mike

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