gOPLP {prodest}

OP and LP Second Stage - GMM estimation

Description

gOPLP returns the second stage parameters estimates of both OP and LP models. It is part of both prodestOP() and prodestsLP() routines.

Usage

  gOPLP(vtheta, mX, mlX, vphi, vlag.phi, vres, stol, Pr.hat, att)

Arguments

vtheta

Vector of parameters to be estimated.

mX

Matrix of regressors.

mlX

matrix of lagged regressors.

vphi

Vector of fitted polynomial.

vlag.phi

Lagged vector of fitted polynomial.

vres

Vector of residuals of the free variables.

stol

Number setting the tolerance of the routine.

Pr.hat

Vector of fitted exit probabilities.

att

Indicator for attrition in the data - i.e., if firms exit the market.

Details

gOPLP() estimates the second stage of OP and LP routines. It accepts 7 inputs, generates and optimizes over the group of moment functions E(e_itX^k_it).

Author(s)

Gabriele Rovigatti