OUTLIER ROBUST GENERALIZED METHOD OF MOMENTS

© by André Lucas and Ronald van Dijk 1995

From this page you can download the sources that have been used for the paper on outlier robust GMM estimation. The sources are written in ANSI-C on a SUN-SPARC work station and have been compiled with the GNU-C compiler `gcc'. I encountered no difficulties when using the ANSI-C compiler `acc' instead.

The file to download is a DOS pkzipped file. Place it in a newly created directory named `gmm' and use the commandos
pkunzip (or use winzip or the like) gmm_sources.zip
make gmm
The resulting executable is called `gmm.exe'.

In the file readron.par, you should place the names of the files containing the variables. The first file name is that of the dependent variable. The number of elements is (T+1)N with T the number of time periods and N the number of individuals. The number of time periods runs fastest, such that the first T+1 elements correspond to one individual. The second file name in readron.par corresponds to the file with the explanatory variables. There should be NTK elements, with K the number of explanatory variables (excluding the lagged dependent variable). The number of explanatory variables runs fastest, followed by the number of time periods and the number of individuals, respectively.

The file gmm_head.par contains the parameters needed to run the program. The file can be read and interpreted rather directly.

Download sources