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  • Using mata functions to define GMM equations

    I'd like the use the cumulative distribution function of the multivariate normal as a moment condition in a GMM estimation. It seems like there is a mata command for this:
    Code:
    mvnormal(L, U, M, V)
    , but I don't know how to use this function in vanilla stata. For many reasons, I'd like to use the GMM estimation command rather than write it myself in mata. Is there a way to do this?

    If more detail is necessary, the parameters I'd like to estimate are parameters of the multivariate normal, M and V
    Last edited by Geoff Zheng; 19 Oct 2021, 16:04.

  • #2
    For posterity: the solution I figured out was, rather than to specify equations using substitutable expressions, specify moments using a custom program (it's all documented in the gmm helpfile). Inside of the custom program, I was free to call mata functions to my heart's content.

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