STATA GMM广义矩估计精品管理.pdfVIP

Generalized method of moments estimation in Stata 11 David M. Drukker StataCorp Stata Conference Washington, DC 2009 1 / 27 Outline 1 A quick introduction to GMM 2 gmm examples Ordinary least squares Two-stage least squares Cross-sectional Poisson with endogenous covariates Fixed-effects Poisson regression 2 / 27 A quick introduction to GMM Method of Moments (MM) We estimate the mean of a distribution by the sample mean, the variance by the sample variance, etc We want to estimate = E [y ] We use µ = (1/N) N yi i=1 This estimator has nice properties because it solves the sample moment condition N (1/N) (y − µ) = 0 i i=1 which is the sample analog of the population moment condition E [y − µ] = 0 Estimators that solve sample moment equations to produce estimates are called method-of-moments (MM) estimators This method dates back to Pearson (1895) 3 / 27 A quick introduction to GMM Generalized method-of-moments (GMM) The MM only works when the number of moment conditions equals the number of parameters to estimate If there are more moment conditions than parameters, the system of equations is algebraically over identified and cannot be solved Generalized method-of-moments (GMM) estimators choose the estimates that minimize a quadratic form of the sample