Expend, a Gauss Programme for Non-Linear GMM Estimation of Exponential Models with Endogenous Regressors for Cross Section and Panel Data

Windmeijer, Frank

doi:10.2139/ssrn.340323

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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

See all articles by Frank Windmeijer

Frank Windmeijer

University of Bristol - Department of Economics; University of Bristol - Leverhulme Centre for Market and Public Organisation (CMPO); Institute for Fiscal Studies (IFS) - Centre for Microdata Methods and Practice

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

Windmeijer, Frank, Expend, a Gauss Programme for Non-Linear GMM Estimation of Exponential Models with Endogenous Regressors for Cross Section and Panel Data (August 2002). CEMMAP Working Paper No. CWP 14/02, Available at SSRN: https://ssrn.com/abstract=340323 or http://dx.doi.org/10.2139/ssrn.340323