Specialized on Data processing, Data management Implementation plan, Data Collection tools - electronic and paper base, Data cleaning specifications, Data extraction, Data transformation, Data load, Analytical Datasets, and Data analysis. BJ Data Tech Solutions teaches on design and developing Electronic Data Collection Tools using CSPro, and STATA commands for data manipulation. Setting up Data Management systems using modern data technologies such as Relational Databases, C#, PHP and Android.
Sunday, March 31, 2019
GMM: Multiple lagged moment conditions
Hello everyone! I am a complete newbie to Stata and am thus really grateful for any help. I am currently trying to implement a highly non-linear model in Stata using GMM. I am struggling to understand how to
1) Incorporate lagged moment conditions
2) Implement this highly non-linear regression.
My moment conditions should be:
E[price_s * error_t] = 0 for s < t, t = 2,3,...,T
The form of the error term is highly non-linear, i.e.
error_t = demand_t - ((1 - {theta} * z_t) ({alpha} * + {beta} * controlvar + {delta} AvPrice_t) + {theta} * z_(t-1) * ({alpha} * + {beta} * controlvar + {delta} AvPrice_t)
My biggest issue right now is the fact that I only have a single moment condition and do not now how to incorporate the lagged condition mentioned above. I have looked at other non-linear GMM specifications, but failed to understand how they obtain multiple moment conditions. I know that my lack of understanding runs deep and would appreciate either some help on my question or someone pointing me to a resource that I can use.
Thank you very much in advance! (and if there is any other information you need, I am sorry for not providing it and will try to do so asap).
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