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st: re: nonlinear iv
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: re: nonlinear iv
Date
Tue, 10 May 2011 10:37:21 -0400
<>
You didn't read the help for gmm very thoroughly.
The example in the help file (let alone the on-line manual) illustrates how to estimate the parameters of a nonlinear equation using instruments:
Estimation of a consumption CAPM model with one financial asset, using
first and second lags of consumption growth and two lags of returns as
instruments (Hamilton 1994, sec. 14.2)
. webuse cr, clear
. generate clc = c / L.c
. generate lcllc = L.c / L2.c
. gmm (1 - {b=1}*(1+F.r)*(F.c/c)^(-1*{g})), inst(clc lcllc r L.r L2.r)
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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