For the command gmm, the Command Reference says
l=number Set maximum number of iterations on the firststage iteration to get the onestep weighting matrix.
What is it for? can not find the difference in equation object or system object gmm estimation.
option "l=number" in GMM
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 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11553
 Joined: Tue Sep 16, 2008 5:38 pm
Re: option "l=number" in GMM
That option sets the number of preGMM least squares iterations that are performed to get starting values for the GMM procedure in nonlinear equations. It is only in rare circumstances that this option will effect the final results.
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Re: option "l=number" in GMM
thx
What is the option "e" then?
In my opinion, the coefs and std errs should be equal between eq01 and eq02. However, the std errs are not equal, why?
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?

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 11553
 Joined: Tue Sep 16, 2008 5:38 pm
Re: option "l=number" in GMM
GMM estimation doesn't use a degree of freedom correction, whereas TSLS (in a single equation) does not.
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