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Develop_instrumentsall.txt

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Develop_transformed_data.txt

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Develop_transformed_data.xls

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Industrial_instrumentsall.txt

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gmm_linear.m

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% GMM_LINEAR
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% Computes the GMM estimator of a linear model
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% Format
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% [beta,se,jstat] = gmm_linear(y,z,x);
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% Inputs
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% y nx1 dependent variable
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% z nxk rhs variables
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% x nxl instruments variables (should include constant and exogenous parts of z), l>=k
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% Outputs
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% beta kx1 Regression slope estimates
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% se kx1 standard errors
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% jstat 1x1 J Statistic
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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function [beta,se,jstat]=gmm_linear(y,z,x)
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pihat=regress(z,x);
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xz=x'*z;
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xy=x'*y;
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beta=((pihat'*xy)'/(pihat'*xz)')';
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e=y-z*beta;
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xe=x.*(e*ones(1,length(x(1,:))));
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g=inv(xe'*xe);
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v=inv(xz'*g*xz);
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beta=v*(xz'*g*xy);
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se=sqrt(diag(v));
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m=x'*(y-z*beta);
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jstat=m'*g*m;

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