Re: st: gmm and a panel data set

["Brian P. Poi" <bpoi@stata.com>]

Marder, Andrew wrote:
> Dear Statalist,
>
> I am having some difficulty using the gmm command.  When I use the command as follows:
>
> gmm (`moment_condition'), winitial(identity) instruments(L.(`instruments'))
>
> The command is able to return some estimates.  I am unsure how valid these estimates are because when I run the command treating my data as a panel:
>
> xtset firm_id year
> gmm (`moment_condition'), winitial(xt L) xtinstruments(`instruments', lags(1))
>
> I get the following error:
>
> warning: 20398 missing values returned for equation 1 at initial values
>              gmm_xtZ_i():  3301  subscript invalid
>            gmm_ABond_W():     -  function returned error
>               _gmm_wrk():     -  function returned error
>                  <istmt>:     -  function returned error
> r(3301);
>
> > From what I've read this could be due to an unbalanced panel or missing data.  Taking a look at my data, it is both unbalanced and has missing data:
>
> . tsset
>        panel variable:  firm_id (unbalanced)
>         time variable:  year, 1989 to 2009, but with gaps
>                 delta:  1 unit
>
> Do you have any knowledge of what is causing this error?  Any suggestions on how to estimate a GMM model using a messy panel data set?
>  

Regardless of how your data is -tsset-, you should not get those cryptic error messages from Mata.  That appears to be a bug in -gmm-.  If you send your dataset and do-file to me privately, I'd be happy to look into the problem and report back to statalist once I figure out what is causing it.


    -- Brian Poi
    -- bpoi@stata.com


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