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Code to Download

This page contains downloadable STATA .ado files to implement the spatial GMM estimators discussed in my paper: "GMM Estimation with Cross Sectional Dependence." Once they have been downloaded to your working directory, these STATA .ado files can be used just like built-in STATA commands. These ado files will estimate linear models and a limited dependent variable model where the conditional expectation of a binary variable is a logistic function of an index — a 'logit with spatial correlation'.

Basic Information:

Stata v6.0 Code for Two-Step Spatial GMM Estimation with a Linear Model:

Stata v6.0 Code for OLS Estimation with Spatial Standard Errors:

Stata v6.0 Code for 'Logit' Estimation with Spatial Standard Errors:

Stata v6.0 Code for Multi-dimensional Scaling (MDS).

This is an algorithm to obtain coordinates of points in a Euclidean space (of pre-specified dimension) whose interpoint distances approximate a given (potentially non-Euclidean)distance matrix.

All of the 12 Stat v6.0 files listed above in a .zip file: