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st: GMM moment evaluator program
From
Nidhiya Menon <[email protected]>
To
[email protected], "Schaffer, Mark E" <[email protected]>, [email protected]
Subject
st: GMM moment evaluator program
Date
Tue, 09 Jul 2013 06:55:37 -0400
I am using a moment-evaluator program version of GMM in Stata 11.2 SE,
supplying
instruments (the variables), and using the iterative gmm estimator
(igmm). I write to ask
whether it is possible to obtain the first stage estimates (and tests
for weak instruments like the Angrist-Pischke F stat) in such a set-up?
With ivreg2, the first stage and relevant tests are reported using the
"ffirst" option, is there something similar that can be done to obtain
these estimates with the moment-evaluator program version of GMM? I
searched the stata manuals and on-line, but could not find anything
helpful.
Thanks in advance.
Sincerely,
Nidhiya
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