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see the following code %ex7 = "\Example Files\EV7 Manual Data" %ch13 = "\Chapter 13 - Graphing Data" %wf = @evpath + %ex7 +%ch13 +"\geyser" wfopen %wf freeze(gf00) length.hist freeze(gf10) length.distplot hist freeze(gf11) length.distplot hist(rightclosed) %wf = @evpath...

Thanks so much!
For equation object, the gmm is totally updated. However, for system object, the options are unchanged . Besides, the j-stat in system output is still J/T, not J. For equations (non-panel), it is change from J/T to J.

Hi
the gmm method of equation: options the iteration methods

V5 V7
c method=oneplusone
i method=simul
o method=nstep, gmmiter=1
s method=converge

Are they correct? I try to find a way to update old code in EViews 5.1 to EViews 7.1

Thanks for your explanation. In the context of GMM, E(V)=0 is the moment condition. How to estimate V hat to be used in computing the auto-covariance matrix Gamma? which is the component of long-run cov matrix Omega. hmm, P70, the Wighting matrix iteration gives the procedure, using the TSLS coef. S...

the paragraph above Eq (E.1). V depend on K-vector parameters theta.

Thanks, I've read Appendix E.
But which theta is used in computing V hat ?

Do you mean P453 of User guide II?
In Eq31.46, coefficients in matrix A is by VAR, that is no problem. My question is how to know m (sample moment)? Since sample moments are functions of GMM parameters, how to determine the value of GMM parameters to compute m for pre-whitening.

When EViews performs the pre-whitening in GMM estimation, what is the value of parameters used?

Thanks!
If I have known the unrestricted (U) and restricted (R) model. Then makegrads from both U and R are improper for LM test. For they are grads from U at estimated value of U, and grads from R at estimated value of R, respectively. Not grads from U at estimated value of R. Right?

logl::makegrads, creates a group of the gradients (first derivatives) of the log likelihood at the estimated parameter values. These gradients are often used in constructing Lagrange multiplier tests. I am puzzled. Textbooks say, for LM test, the gradients are computed from the unrestricted model at...

options for derivative method

is left out.

Besides, logl::append should be a Proc, not a View as the object ref documents. (sorry my typo last time)

hmm, but [f(x+h)-f(x)]/h is called one-sided, and [f(x+h)-f(x-h)]/(2h) is called two-sided

Should it be "One-sided fast numeric derivatives"? !N = 1000 wfcreate(page=gm) u 1 !N rndseed(type=mt) 12357 coef b = 1 coef r = 2 genr y = @rgamma(b(1),r(1)) 'random of Gamma dist logl L_g L_g.append @logl L L_g.append L = @log( @dgamma(y,b(1),r(1)) ) L_g.append @derivstep(1) @all 1.49e-8...

In EV7, the "Estimation weighting matrix" and "Standard errors & covariance computation" can now be separated (In EV5, only allow in panel equations objects). What are the advantages? some textbooks say that the optimal one is W=C^(-1) where W is the gmm weighting and C is th...

In Eviews 5 %wf = @evpath + "\Example Files\data\demo" wfopen %wf group g m1 gdp g.linefit(yl,xb=-0.5,s=s1) then the fitted series is saved in series s1. In Eviews 7 %wf = @evpath + "\Example Files\Sample Programs\stats\demo" wfopen %wf group g m1 gdp g.scat linefit(yl,xb=-0.5) '...