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In fact, I like to find the Hessian for a likelihood object to compute the robust variance. It seems that EViews does not provide one. I try to compute the numerical derivative of gradient vector. Thus, the gradient at b+h (b is the estimated parameter and h is some step size) should be calculated f...

Dear all When evaluating by obs, check the following code 'create workfile !T = 100 wfcreate(page=OLS) u 1 !T 'genr the data rndseed(type=mt) 12357 genr x = rnd genr y = 5 +3*x +nrnd 'Logl obj logl L11 L11.append @logl L 'L11.append @byeqn L11.append e = y -c(1) -c(2)*x L11.append v = @sum(e^2)/!T L...

It seems that math functions do NOT support coefficient vector. For example

Thanks very much for your detail!

produce smaller SE than eq52.
I think gmm= is for coef estimation, and cov= for covariance estimation, which are computed after the coefs are estimated.

When over-identified, the following also give the same "std err"

If cov= is not set, then it use the same setting as gmm=, right? for example wfopen(t=txt) http://www.wiley.co.uk/wileychi/baltagi/supp/Grunfeld.fil names=(fn yr i f k) pagestruct fn @date(yr) equation eq01.gmm(gmm=persur) I C F K @ C F K equation eq02.gmm(gmm=persur,cov=persur,nodf) I C F K @ C F K...

thx What is the option "e" then? pageload cs 'cs.wf1 is an example workfile of EViews smpl @first 1995q1 equation eq01.tsls(n) log(cs) c log(gdp) @ c log(cs(-1)) log(gdp(-1)) equation eq02.gmm(e) log(cs) c log(gdp) @ c log(cs(-1)) log(gdp(-1)) In my opinion, the coefs and std errs should b...

For the command gmm, the Command Reference says
l=number Set maximum number of iterations on the first-stage iteration to get the one-step weighting matrix.
What is it for? can not find the difference in equation object or system object gmm estimation.

Consulting the original paper, the following equations may have typos User guide II (ver: Nov 13, 2007), P340-341 eq33.8, should be K(j,q)=1-j/(q+1), note that the denominator should be q+1 eq33.43, add square to the LHS, should be a(p)=(l'F(p)l/(l'F(0)l))^2 eq33.45, if the corresponding first lines...

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