option "l=number" in GMM

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maxchen
Posts: 191
Joined: Fri Oct 10, 2008 4:03 pm

option "l=number" in GMM

Postby maxchen » Thu Oct 16, 2008 7:11 pm

For the command gmm, the Command Reference says
l=number Set maximum number of iterations on the first-stage iteration to get the one-step weighting matrix.
What is it for? can not find the difference in equation object or system object gmm estimation.

EViews Gareth
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Re: option "l=number" in GMM

Postby EViews Gareth » Thu Oct 16, 2008 9:26 pm

That option sets the number of pre-GMM least squares iterations that are performed to get starting values for the GMM procedure in non-linear equations. It is only in rare circumstances that this option will effect the final results.
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maxchen
Posts: 191
Joined: Fri Oct 10, 2008 4:03 pm

Re: option "l=number" in GMM

Postby maxchen » Fri Oct 17, 2008 7:26 pm

thx
What is the option "e" then?

Code: Select all

pageload cs 'cs.wf1 is an example workfile of EViews
smpl @first 1995q1
equation eq01.tsls(n) log(cs) c log(gdp) @ c log(cs(-1)) log(gdp(-1))
equation eq02.gmm(e) log(cs) c log(gdp) @ c log(cs(-1)) log(gdp(-1))

In my opinion, the coefs and std errs should be equal between eq01 and eq02. However, the std errs are not equal, why?

EViews Gareth
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Re: option "l=number" in GMM

Postby EViews Gareth » Sat Oct 18, 2008 1:18 am

GMM estimation doesn't use a degree of freedom correction, whereas TSLS (in a single equation) does not.
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