Tricks with Hicks: Stata GMM code for nonlinear gmm

Carl Nelson ()

CHI11 Stata Conference from Stata Users Group

Abstract: In a June, 2009 American Economic Review article entitled "Tricks with Hicks: The EASI Demand System", Arthur Lewbel and Krishna Pendakur proposed the exact affine Stone index demand system. This system allows Engel curve behavior higher than rank 3, demographics, and unobserved heterogeneity in tastes. The AEA web supplement for the article provides Stata code to estimate a linear, and iterative linear version of the model. But the full nonlinear system instrumental variable estimates were obtained with TSP econometric software using command frml to obtain nonlinear 3SLS estimates. I present Stata code to estimate the nonlinear EASI demand system using the Stata gmm command. This is an example of the important estimation extensions that have been made possible by the introduction of the gmm command.

Date: 2011-07-20
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/chic2011/chi11_nelson.pdf (application/pdf)
http://fmwww.bc.edu/repec/chic2011/lewbelpendakur09_20.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:chic11:11

Access Statistics for this paper

More papers in CHI11 Stata Conference from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().