Intensive Course Microeconometrics with STATA

We are honored to have David Drukker as a lector for the Microeconometrics with STATA course. He will also present an invited paper within the scientific sessions of the conference.

Minibiography David Drukker

Title: Solving the two-step estimation problem using GMM in STATA


Many estimators in statistics, econometrics, and biostatistics are cast as multi-step estimators. Multi-step estimators produce consistent point estimates but the standard errors must be corrected as they are inconsistent. This problem is so common that it even emerges when estimating population averaged effects from a regression.

For instance, inverse-probability weighted (IPW) estimators are a weighted average in which the weights are estimated in the first step. Two-step estimators use first-step estimates to estimate the parameters of interest in a second step. The two-step-estimation problem arises because the second step ignores the estimation error in the first step.

One solution is to convert the two-step estimator into a one-step estimator. This one-step approach produces consistent point estimates and consistent standard errors. There is no two-step problem because all the computations are performed jointly.

This talk introduces the solution of stacked moment equations which is a special case of the generalized method of moments (GMM) and it shows how to implement this solution using the GMM command in STATA.

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