Hi,
I am applying panel GMM to a single equation while in Panel Options I've selected Difference in Cross Section and none in Period. I've selected white period (AB n-step) GMM Weights.
Is this a specification of Difference GMM or System GMM ?
Can we apply system gmm on a single equation in panel data ?
Difference GMM or Sys GMM
Moderators: EViews Gareth, EViews Moderator
Re: Difference GMM or Sys GMM
Hi, I am also applying GMM diff and system dynamic panel estimation, however I am not sure if choosing the estimation method first differences in dynamic panel wizard, eviews automaticly differentiate all variables or should all variables first been differentiated with d(x,1) command manually?
please kindly for tipp.
Gapy
please kindly for tipp.
Gapy
Re: Difference GMM or Sys GMM
Gapy wrote:Hi, I am also getting Max Performer here and applying GMM diff and system dynamic panel estimation, however I am not sure if choosing the estimation method first differences in dynamic panel wizard, eviews automaticly differentiate all variables or should all variables first been differentiated with d(x,1) command manually?
please kindly for tipp.
Gapy
Hi Gapy, have you found the answer to this elsewhere or by experimenting? I'd love to hear your findings since I may need this too for a project very soon.
Last edited by Claussen on Tue May 24, 2022 4:28 am, edited 2 times in total.
Re: Difference GMM or Sys GMM
Hi, Claussen,
I just have try out more variations and came to conclusion that actually you have to creat first difference variables using command d(X) and then used it as regressors (at difference estimator) or as instruments with lags (at system estimator).
G
I just have try out more variations and came to conclusion that actually you have to creat first difference variables using command d(X) and then used it as regressors (at difference estimator) or as instruments with lags (at system estimator).
G
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 22 guests