GMM with multi-level moment conditons

[Alpha Che]

Hi all,

I want to do a two-step GMM estimation with multi-level moment conditons (the objective functions and moment condisitons are in the image), is there any way to achieve it in STATA?

I post a sample data file below. Y here is Wkwage, X includes Educ, Exp, White, Mid, South, West, and a constant.

Any suggestion will be greatly appreciated!

[Sebastian Kripfganz]

See: help gmm

[Alpha Che]

Thank you for your kind reply, Sebasitain,

I checked the help manual of gmm, but my instruments of the first moment condition sets contain the coefficents that need to be estimated (the moment condition (y-exp(xb))*exp(xb)*x), where the instruments are exp(xb)*x ). I did not see any example in the manual fits my case. Could you please give me some suggestions? Thank you.

[Sebastian Kripfganz]

You need to consider (y-exp(xb))*exp(xb) as an error term with x as an instrument. This gives you a system of two equations.

[Alpha Che]

Thank you so much Sebastain, finally I got what I want