Expend, a Gauss Programme for Non-Linear GMM Estimation of Exponential Models with Endogenous Regressors for Cross Section and Panel Data
CEMMAP Working Paper No. CWP 14/02
16 Pages Posted: 20 Nov 2002
Date Written: August 2002
Abstract
ExpEnd is a Gauss programme for non-linear generalised method of moments (GMM) estimation of exponential models with endogenous regressors for cross section and panel data. The estimators included in this package are simple Poisson pseudo ML; GMM for cross section data using moment conditions based on multiplicative or additive errors; within groups fixed effects Poisson for panel data; GMM estimation using quasi-differenced moment conditions eliminating unobserved heterogeneity and allowing for predetermined or endogenous regressors; and quasi-differenced GMM for a dynamic linear feedback model. This manual describes in detail the various estimators, the data and software requirements, and the programme commands.
JEL Classification: C13, C21, C23
Suggested Citation: Suggested Citation
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