Expend, a Gauss programme for non-linear GMM estimation of EXPonential models with ENDogenous regressors for cross section and panel data models
نویسنده
چکیده
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. The programme can be downloaded from http://cemmap.ifs.org.uk/wps/expend.zip.
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