ExpEnd, A Gauss programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel data

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STIMATION OF

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Frank Windmeijer

THE INSTITUTE FOR FISCAL STUDIES

DEPARTMENT OF ECONOMICS

,

UCL

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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

∗

Frank Windmeijer

Centre for Microdata Methods and Practice

Institute for Fiscal Studies

7 Ridgmount Street

London WC1E 7AE

[email protected]

August 2002

Abstract

ExpEnd is a Gauss programme for non-linear generalised method of mo-ments (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 var-ious estimators, the data and software requirements, and the programme commands. The programme can be downloaded from

http://cemmap.ifs.org.uk/wps/expend.zip.

Key Words: Generalised Method of Moments, Count Data, Panel data JEL Classification: C13, C21, C23

∗_{I am grateful to Rachel Griﬃth and Marcos Vera-Hernandez for helpful comments. This}

programme has been developed while working on a project for the Centre for Economic Evalu-ation at IFS, a member of the ESRC Evidence Network. Financial support of the ESRC, grant no. H141251024, is gratefully acknowledged.

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1. Introduction

ExpEnd is a Gauss programme for non-linear GMM estimation of Exponential models with Endogenous regressors for cross section and panel data. The esti-mators 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 dy-namic linear feedback model. The models and estimation methods are described in detail in Chamberlain (1992), Wooldridge (1991, 1997), Mullahy (1997), Wind-meijer and Santos Silva (1997), WindWind-meijer (2000a) and Blundell, Griffith and Windmeijer (2002).

The programme can be downloaded from http://cemmap.ifs.org.uk/wps/expend.zip. The EXPEND.ZIP file contains the following files:

EXPEND.PRG is the main programme file for use with MAXLIK 4.0 EXPENDOP.PRG is the main programme file for use with OPTMUM

EXPENDNM.PRG is the main programme file if MAXLIK 4.0 and OPTMUM are not available

EXPEND.RUN is the run file from which the main programme is called, using MAXLIK 4.0

EXPENDOP.RUN is the run file from which the main programme is called, using OPTMUM

EXPENDNM.RUN is the run file if MAXLIK 4.0 and OPTMUM are not available GDATA.DAT and .DHT, an example gauss synthetic data set

AUXGDATA.DAT and .DHT, the auxiliary file accompanying the data set Extract these files to a directory of choice. If the run file is in a diﬀerent location from the programme file, the #include statement at the end of the run file should contain the path to the programme file. Estimation is done by editing the run file and executing it in Gauss.

2. Software Requirements

Gauss Version 3.2 for DOS, 3.5 and higher for Windows or 3.6 for UNIX, prefer-ably with MAXLIK 4.0 or OPTMUM, although a simple optimisation routine is provided by the programme. If MAXLIK 4.0 is available, use the EXPEND.RUN

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