Stata 11 has new command gmm for estimating parameters by the generalized method of moments (GMM). gmm can estimate the parameters of linear and nonlinear models for cross-sectional, panel, and time-series data. In this presentation, I provide an introduction to GMM and to the gmm command.

Stata 11 has new commands sspace and dvech for estimating the parameters of space-space models and diagonal-vech multivariate GARCH models, respectively. In this presentation, I provide an introduction to space-space models, diagonal-vech multivariate GARCH models, the implemented estimators,...