GMM, Time series HAC and Bandwidth Andrews

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.

Moderators: EViews Gareth, EViews Moderator

RDS
Posts: 82
Joined: Thu Feb 17, 2011 9:50 am

GMM, Time series HAC and Bandwidth Andrews

Postby RDS » Mon Aug 19, 2019 2:23 pm

I would like to run a system of equations with GMM with the following characteristics:

Estimation method: Time series HAC
Bandwidth selections: Andrews
Kernel Option: Bartlett

I run the system with the following options
mymodel.gmm(instwgt=hac,instlag=1,instkern=Bartlett, instbw=andrews,nodf)

However, I always get Bandwidth: Fixed (5) and not Andrews.


Any suggestions?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12299
Joined: Tue Sep 16, 2008 5:38 pm

Re: GMM, Time series HAC and Bandwidth Andrews

Postby EViews Gareth » Mon Aug 19, 2019 2:32 pm

Follow us on Twitter @IHSEViews


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 5 guests