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High-Order Moment GMM Programs
- NOW IN BOTH GAUSS AND
MATLAB!!!!!!!!!!!!!!!!! (Stata will be coming by the end of 2008. I
promise.)
- This page contains user-friendly
versions of the programs that Tim Erickson and I used in our series of papers
on estimating the errors-in-variables model using high-order moments.
(JPE, 2000; Econometric Theory, 2002.)
- They are designed to handle a mismeasured
regressor in a cross section, panel, or i.i.d. time series. In order for
them to work, the mismeasured regressor must not be normally
distributed. The method appears to have good finite-sample properties in
regressions containing Tobin's q, which by definition cannot have a
normal distribution, since it is bounded below by zero. The estimators
are not just for regressions containing Tobin's q, though we have only
done a few Monte Carlo experiments
along this line.
- The programs were originally written in
GAUSS, but I have also translated them into MATLAB. The two versions
give identical answers when applied to the same data set.
- The programs are really easy to use, and they run very quickly: seconds or minutes. You should be
able to use them by changing a few lines in the top of each program.
- I have provided a tutorial below.
- Please download and read the accompanying
instructions before you attempt to use the programs.
- A number of researchers have used our
model identification test as a "pre-sampling" test in order to
identify samples on which our model is identified. We strongly discourage this practice! It is
tantamount to searching for samples on which the standard errors are
low. If the model is unidentified, you need to find another method.
- I offer no guarantee for the programs, but
they have been debugged thoroughly.
- If you are interested in some
less-than-user-friendly (in GAUSS) or some possibly buggy (in MATLAB)
programs for two mismeasured regressors, please email me.
Tutorial
Instructions
Identification Test Program in Gauss
One Mismeasured Regressor Program in Gauss
Identification Test Program in Matlab
One Mismeasured Regressor Program in Matlab
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