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st: GMM with inequality and equality constraints
From
"Marder, Andrew" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: GMM with inequality and equality constraints
Date
Thu, 15 Mar 2012 10:40:51 -0400
Dear statalisters,
The generalized method of moments estimation in Stata is great! It was wonderful how easy it is to estimate a nonlinear GMM model. I am trying to replicate part of a paper that estimates a GMM model subject to equality and inequality constraints that look like:
E[ alpha w_i + beta x_i ] = 0
E[ gamma y_i + delta z_i ] >= 0
How hard would it be to modify Stata's gmm function to accommodate constraints like these?
Thanks, Andrew
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