Question on GMM estimation

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

Question on GMM estimation

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

Hi,

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.

Best,

Andreas
Attachments
wage_formation_code_test_file.prg
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sweout.xls
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startz
Non-normality and collinearity are NOT problems!
Posts: 3370
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.


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