Question on GMM estimation

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Posts: 1
Joined: Wed May 16, 2018 10:18 am

Question on GMM estimation

Postby andwes » Wed May 16, 2018 2:15 pm


Im trying to estimate an equation in the attached file using GMM (the file provides a simplified example of when I run into problems. However, when I‎ use both current and lagged variables (lproductivity_manufact) as independent variables (also added as instruments) i get an error message that the order condition is violated (Order condition violated - Insufficient instruments). When I use only the curent value, everything works fine. I guess i must be doing something wrong, but cannot figure out what is the problem. If anyone knows what is the problem, please let me know.


(1.19 KiB) Downloaded 53 times
(12.41 KiB) Downloaded 38 times

Non-normality and collinearity are NOT problems!
Posts: 3497
Joined: Wed Sep 17, 2008 2:25 pm

Re: Question on GMM estimation

Postby startz » Wed May 16, 2018 4:17 pm

You can't have fewer instruments than coefficients.

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 2 guests