Yuya Sasaki, Vanderbilt University, Nashville, TN. Guofang Huang, Purdue University, West Lafayette, IN. Yingyao Hu, Johns Hopkins University, Baltimore, MD. Estimating Production Functions with Robustness Against Errors in the Proxy Variables. Matrices e(b) coefficient vector e(V) variance-covariance matrix of the estimators e(br) returns to scale (RTS) e(Vr) variance of the RTS estimatorДЇunctions e(sample) marks estimation sample Scalars e(N) observations e(T) time periods e(minT) first time period e(maxT) last time period e(objective) value of the GMM objective robustpf y k ls lu, proxy(m)Д®stimation of gross-output production function with material as a proxy: (Variables: id ID, year year, y output, k capital, ls skilled labor, lu unskilled labor, m material, e electricity) Estimation of net-output production function with material as a proxy: since Stata 11, it is possible to obtain GMM estimates of non-linear models using the gmm command. (The moment function for GMM estimation is nonlinear, and hence it is recommended to try multiple initial values to improve the possibility of attaining the globally optimal solution.) ivreg gmm q demandshiftrs (p supplyshiftrs ) with heteroskedasticit, y the GMM estimator will be more e cient than the 2SLS estimator. Init_m ( real ) sets the initial value(s) of the intermediate input coefficient(s) for an optimization routine of the GMM estimation. Init_l ( real ) sets the initial value(s) of the labor coefficient(s) for an optimization routine of the GMM estimation. Init_k ( real ) sets the initial value of the capital coefficient for an optimization routine of the GMM estimation. Not calling this option will lead to the two-step efficient GMM estimation by default. Onestep sets an indicator for implementing just one step of the GMM estimation. Receiving no input for any of these options, the command estimates the net-output production function. m5 ( varname ) take up to five intermediate input variables for estimation of the gross-output production function. Receiving no input for this option, the command produces no estimation results. Proxy ( varname ) takes the proxy variable used for estimation of the production function. Displayed results consist of returns to scale and coefficients of each input variable. A user must set a proxy variable by calling the option proxy (), which often takes one of the intermediate input variables or an investment variable. regress price mpg weight Source SS df MS.

In addition, for estimation of a gross-output production function, a user can set up to five intermediate input variables as options m1 (). You can trick Stata by using each covariate as an instrument for itself.

The command takes as input an output variable y, a capital variable k, and J types of labor variables l1. Robustpf estimates production functions robustly against errors in proxy variables, based on the identification and estimation theories developed in Hu, Huang, and Sasaki (2020). Robustpf - Executes estimation of production functions robustly against errors in proxy variables.

Stata gmm