GMM and stacking moment conditions

[Trevor Brould]

Dear Statalisters,

I have never used GMM in stata and couldn't see a related issue posted on statalist. I will appreciate any guidance on the following matter.

I have the following OLS models:

Model 1) Stock_Returns_t= Alpha_t + b1*MarketReturn_t+ b2*HTM_t + b3*BTM_t + e_1

Model 2) Alpha_t = a + c1 * Dummy1_t + c2*Dummy2_t + c3 * Size_t+ e_2

My question is, how can I stack the moment conditions and estimate the parameters in model 2 in GMM?

Trevor

[Sebastian Kripfganz]

Please see the help file and Stata manual for the command gmm. It also includes several examples.