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Re: st: Non-Linear Least Squares with Generalized Method-of-Moments
From
Maarten buis <[email protected]>
To
[email protected]
Subject
Re: st: Non-Linear Least Squares with Generalized Method-of-Moments
Date
Wed, 9 Mar 2011 17:38:44 +0000 (GMT)
--- On Wed, 9/3/11, [email protected] wrote:
> I'm running two separate specifications, one with
> non-linear least squares (NLLS) and the other with
> generalized method-of-moments (GMM)
<snip>
> I've been searching the internet and Stata books
> (incl. the Cameron 'Microeconometrics using Stata')
> but haven't found a way of combining the two
> approaches, for example running the first-stage
> regressions, taking the appropriate weighting matrix,
> and using this into a non-linear second-stage equation.
One idea would be to estimate the your non-linear model
with GMM instead of non-linear least squares. That would
probably make it easier to combine the two models, e.g.
just stack the moment conditions.
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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