Need help with ExpEnd (Gauss program for Non-Linear GMM estimation)

I am trying to use ExpEnd, a Gauss program for nonlinear Generalized Method of Moments (GMM) estimation of exponential models with endogenous regressors for cross section and panel data. The package is written by Frank Windmeijer of University of Bristol and is available as open source. I am getting errors when I run the sample program that is provided, along with the sample data. I suspect the reason is incompatibility with the more recent version of Gauss that I am using. ExpEnd was released in 2002 for Gauss version 3.6 (for Unix). I am using Gauss version 15.

If anyone has experience with this software, or can provide pointers I would greatly appreciate the help.

3 Answers



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accepted

It looks like to run that code you need the GAUSS Maxlik and/or Optmum packages, depending on which file you run. If this is your problem you would get an error:

Library not found

I also notice that the datasets are in an older format. This might give problems for certain functions. However, you can load them and save them in an updated format like this:

//Load all variables as a matrix
data = loadd("gdata");

//Open file handle to dataset
open fh = "gdata";

//Load variable names from dataset
var_names = getnamef(fh);

//Save new updated dataset as 'gdata_new.dat'
ret = saved(data, "gdata_new", var_names);

After this you will need to copy gdata_new.dat over gdata.dat.

aptech

1,393


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One of the programs does not require Maxlik or Optmum and that returned errors too. I will try the data format suggestion. Thank you very much!



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I followed the Aptech recommendation to reformat the example dataset ("gdata"). However, I get the following error when executing expend.run with the default options:

G0071 : Type mismatch [expend.prg, line 1031]

Line 1031 contains the following:

vary = ones(lfmlag,1)*vary;

This is a difficult issue to debug for someone new to Gauss because expend.prg contains many lines of code. Any pointers would be appreciated!

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