GMM Estimation used by Rigobon and Sack

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Raphael96
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Joined: Thu Nov 08, 2018 6:38 am

GMM Estimation used by Rigobon and Sack

Postby Raphael96 » Thu Nov 08, 2018 9:05 am

Hey to all :)

Right now I am working on my thesis focussing on the impact of the ECB on the german stock market. I already used a Regression model to get this done. A lot of authors also use a second approach to do kind of a sensitivity analysis. Nearly all of them use either the GMM Estimation or the instrumental variables approach that was implemented by Rigobon and Sack back in 2004. I will link the paper below. The pages of interest are 9-10. My problem is that I never used Eviews before and therefore I have no real clue on how I do this in Eviews. Is there anyone of you that already did this approach and can help me out what I have to do? I would be so glad if there is anyone that can help me out :)

Link to the paper: https://www.nber.org/papers/w8794.pdf

Any help is highly appreciated :)

Thanks a lot in advance :)

Best
Raphael

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