RE: st: Non-Linear Least Squares with Generalized Method-of-Moments

[<adrien.Amzallag@ecb.int>]

Dear Maarten,

A bit late, but I wanted to thank you for the suggestion to look at the
gmm command, I've finally had a chance to check it and indeed this works
for some of the countries I'm looking at. Unfortunately, many countries'
regressions return an error with 'flat or discontinuous regions
encountered', but I'll play around with the initial values as a first
solution attempt. However, any other suggestions for getting around the
issue are very welcome indeed.

Many thanks again,

Adrien


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten buis
Sent: 10 March 2011 10:09
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: Non-Linear Least Squares with Generalized
Method-of-Moments


--- On Thu, 10/3/11, adrien.Amzallag@ecb.int wrote:
> Thanks for the suggestion, my question is exactly that: how
> to combine the two models in Stata? (i.e. how to estimate a
> non-linear model with GMM). There's the 'nl' command and the
> 'ivreg2, gmm2s' command but I'm not sure how to combine them.
> I'm also not sure I understand what you mean by 'stacking 
> the moment conditions'.

I am thinking about the -gmm- command, see -help gmm- and the 
manual entry on -gmm-. Especially in the latter there are a
large number of examples.

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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