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From | Edward Norton <ecnorton@umich.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: GMM: 2SLS with over-identification |
Date | Tue, 20 Apr 2010 22:33:03 -0400 |
Dear Listers, In Stata 11 -gmm-, is it possible to estimate an over-identified 2SLS model in which some observations have fewer than the full number of instruments? This is possible when estimating a dynamic panel model (with either -gmm- or -xtabond-). The online Stata manual says: "-gmm- automatically excludes observations for which there are no valid observations for the panel-style instruments. However, it keeps in the estimation sample those observations for which fewer than the maximum number of instruments you requested are available. For example, if you specify the lags(2/4) suboption, you have requested three instruments, but -gmm- will keep observations even if only one or two instruments are available." I would like to be able to do something similar, but for 2SLS (over-identified). Is that possible? Edward Norton University of Michigan ecnorton@umich.edu * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/