We offer here a brief description of the Generalized Method of Moments (GMM) estimator, paying particular attention to issues of weighting matrix estimation and coefficient covariance calculation.Or treatment parallels the excellent discussion in Hayashi (2000).Choice of the updating often depends on the problem.
For full details and examples, see the new help files accompanying the programs.
If you can't use continuously updating, also try the iterative procedure, which is just like doing the two-step over and over again until your weight matrix converges over the updates.
If you’re going to run multiple endogenous variables (not something we’re all that crazy about) you at least oughta look at the appropriate first stage Fs.
There are two major reasons your variance covariance matrix could differ between estimations, even if both estimations are "right": Any of these problems could produce different estimates for the variance-covariance matrix but very close estimates for the parameters.
My advice is to use the analytic gradient if you have it.