GMM, Time series HAC and Bandwidth Andrews

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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
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Re: GMM, Time series HAC and Bandwidth Andrews

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

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