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.
option "l=number" in GMM
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: option "l=number" in GMM
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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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?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- 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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