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Difference GMM or Sys GMM

Posted: Thu Apr 26, 2018 11:52 am
by iftikharyasin
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 ?

Re: Difference GMM or Sys GMM

Posted: Thu May 10, 2018 11:32 am
by Gapy
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.


Re: Difference GMM or Sys GMM

Posted: Tue May 22, 2018 9:10 am
by Claussen
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.

Re: Difference GMM or Sys GMM

Posted: Wed May 23, 2018 9:19 am
by Gapy
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).