Re: st: 3SLS with different instruments for different equations

[etanebay@yahoo.com]

Thanks Nick!

I've done it, with the new syntax:

. gmm (Y1 - {b1}*Y2 - {b2}*Y3 - {b4}*X1 - {b5}*X2 - {b6}*X3 - {b0}) (Y2 - {b7}*Y1 - {b8}*X1 - {b9}*X2 - {b10}*X3 - {b11}*Z1 - {b12}) (Y3 - {b13}*Y1 - {b14}*X1 - {b15}*X2 - {b16}*X3 - {b17}*Z2 - {b18}), xtinstruments(X1 X2 X3, lag(0/1)) xtinstruments(2: Z1, lag(0/1)) xtinstruments(3: Z3, lag(0/1)) wmatrix(hac bartlett 1) winitial(xt L) vce(hac bartlett)


I get a new error message that:
"wmatrix(xt ...) inconsistent with number of moment equations"

I have 3 moment equations for the whole panel, and specifying "wmatrix(xt LLL)" gets me the error message:

"Can specify at most two moment equations"

What should I do when I have 3 equations in the model (panel data), and need different instruments for different equations?

Many thanks, May




------------------

-----Original Message-----
From: Nick Cox <njcoxstata@gmail.com>
Sender: owner-statalist@hsphsun2.harvard.edu
Date: Wed, 16 Mar 2011 15:23:13 
To: <statalist@hsphsun2.harvard.edu>
Reply-To: statalist@hsphsun2.harvard.eduSubject: Re: st: 3SLS with different instruments for different equations

-winitial()- is an option of -gmm-.

Therefore to learn more, look at the help for -gmm- and in turn the
manual entry.

-help foobar- only exceptionally helps with options called -foobar()-.
There are exceptions, notably with -graph-, but usually options are
documented directly in the help for a command or indirectly via a link
from that help.

Nick

On Wed, Mar 16, 2011 at 3:17 PM,  <etanebay@yahoo.com> wrote:

> Hi, thanks - I tried gmm specification for my model below by typing:
>
> . gmm (Y1 - {b1}*Y2 - {b2}*Y3 - {b4}*X1 - {b5}*X2 - {b6}*X3 - {b0}) (Y2 - {b7}*Y1 - {b8}*X1 - {b9}*X2 - {b10}*X3 - {b11}*Z1 - {b12}) (Y3 - {b13}*Y1 - {b14}*X1 - {b15}*X2 - {b16}*X3 - {b17}*Z2 - {b18}), xtinstruments(X1 X2 X3, lag(0/1)) xtinstruments(2: Z1, lag(0/1)) xtinstruments(3: Z3, lag(0/1)) wmatrix(hac bartlett 1)
>
> But I got an error message:
>
> "Must specify winitial(xt xtspec) or winitial(matname) with XT-style instruments"
>
> I tried searching "help winitial" but nothing came up.
>
> Can you please help with my gmm syntax?

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