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by dvd.ceccarelli
Fri Mar 18, 2011 11:55 am
Forum: Econometric Discussions
Topic: Impulse (singleton) dummy in GMM
Replies: 0
Views: 977

Impulse (singleton) dummy in GMM

Dear guys, I have this problem. I have seen in the GMM residuals that there is an outlier. I have decided to insert an impulse dummy in the estimation. But when I have inserted it also as instrument, the Hansen J-test is implausible (p-value=1). There is a theoretical problem in using impulse dummy ...
by dvd.ceccarelli
Wed Feb 16, 2011 3:14 am
Forum: Add-in Support
Topic: EqBootstrap (bootstrap standard errors)
Replies: 28
Views: 26942

Re: EqBootstrap (bootstrap standard errors)

Dear Gareth, I have to estimate a nonlinear LS with explicited coefficients: d(dlp2) = c(1) + c(2)*(dlp2(-1)- (c(3)*lulc(-1)+ c(4)*mel(-1))) + c(5)*d(dlp2(-1)) + c(6)*d(lulc(-1)) + c(7)*d(mel(-1)) I have seen that bootstrao Add-in does not work. Is there a solution to run the bootstrap procedure? Th...

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