Posts Tagged ‘exponential mean’

Multiple-equation models: Estimation and marginal effects using gmm

We estimate the average treatment effect (ATE) for an exponential mean model with an endogenous treatment. We have a two-step estimation problem where the first step corresponds to the treatment model and the second to the outcome model. As shown in Using gmm to solve two-step estimation problems, this can be solved with the generalized method of moments using gmm.

This continues the series of posts where we illustrate how to obtain correct standard errors and marginal effects for models with multiple steps. In the previous posts, we used gsem and mlexp to estimate the parameters of models with separable likelihoods. In the current model, because the treatment is endogenous, the likelihood for the model is no longer separable. We demonstrate how we can use gmm to estimate the parameters in these situations. Read more…