Help GMM

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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Help GMM

Postby mariarrt » Mon Sep 11, 2017 11:35 am

I am currently working on my thesis and I am using EViews 9 but it is my first time using it, I have two questions and I hope you could answer me.
I am trying to measure the impact of ICT(information and communications technologies) on economic growth, there is a big problem of reversed causality and many authors use the GMM for that reason.
I have a data set of the 32 states in Mexico from 2000 to 2015, I am making the analysis using the GMM in the full sample (T=15, N=32), but I want to do it with 3 sub-samples per income group, that is the first question. How do I make those groups in EViews in order to do the same regression for all groups, I have a variable called income that is 1 low 2 middle 3 high maybe I could use that.
The other thing is, when I make the sample into income groups I have T= 15 and N1= 9, N2= 11, N3= 12, I read that the GMM needs a bigger N that T or it could lead to inconsistent results.
In that case would it be better to use de Pooled Mean Group? if so I come back to my earlier question, how can I divide the full sample into 3 subsamples according to their income.
Thank you very much

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