gmm

  1. R

    Generalized method of moments/identification through heteroscedasticity

    Hello to all :) First of all sorry for my poor english. I am sadly not a native english speaker. Right now I am doing an event-study for my thesis. It focuses on the impact of the ECB on the german stock market. I found many different approaches but the approach to use the GMM seems to be...
  2. J

    Dynamic Panel Data for Financial Markets

    Dear all, I am trying to simultaneously estimate three equations using dynamic panel data. In each equation, the dependent variable (say, Y(3)) is a function of the two other dependent variables from that same period (say, X(3) and Z(3)), as well as the lagged values of the same dependent...
  3. E

    How well a few values fit a given distribution?

    Dear all, I have approximated two one-dimensional random variables A and B using Gaussian Mixture Models (3 gaussians). I used gmdistribution.fit Matlab function with 10000 values. The resulting distributions are called f_{A}(x) and f_{B}(x) (shown in attached Figure 1, being...
  4. B

    how to improve Arellano-Bond test for AR(2) in first differences in system GMM?

    Hello, I am estimating my regression using system GMM. xtabond2 y L.y x1 x2 x3 yr2004-yr2011 z, gmm(y, lag(2 .) ) iv(x3 yr2004-yr2011, eq(lev)) iv(x1 x2 z) two ar(4) ort nodiff noconst rob I am concerning most below: - instrument number to make sure not to exceed group number -...
  5. C

    How to use gmm() from the R gmm package?

    I'm trying to estimate an econometric model with the gmm package. I'm having a hard time understanding the syntax to build the matrix of moments. You can find the code here: http://pastebin.com/z7Ugx6ge You can find the data here: https://copy.com/9JVKUV9FWd4p , it's taken from the book "A...
  6. E

    xtabond2 suppressing the constant

    Hi all, When using the difference GMM estimator, the constant is differenced out by way of the first-difference transformation. So using the option "noconstant" is moot. But what is the interpretation of the constant in System GMM? The system GMM uses the original levels equation and the...
  7. H

    Fixed Effects Common Panel Regression versus GMM estimation

    Hi, I have estimated my model using the Fixed Effects Common Panel method and this seems to work fine. I get an R2 of .90 However, I am now in doubt whether I should use GMM to estimate my model instead? I am not very familiar with GMM. Could someone tell me what the prerequisites for...