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Hi I am trying to estimate multiple equations by GMM using "System" in Eviews7. My problem is that I am to use GMM robust standard errors, but when I check the box "Identity weighting matrix in estimation (2SLS coefs & GMM robust errors)" my coefficients not only go from sign...

Thanks for your help :) I did what you said, and it seems to working out for me.

For my instruments I would use my independent variables, so Def, Term and market. The article from where I'm getting this method to estimate the model sets the moment conditions as on page 11 (506) of this http://docentes.fe.unl.pt/~psc/MultifactorModelsICAPM.pdf Sorry for not writing it out, but it...

I've having some difficulties as to how to carry out an estimation and would greatly appreciate any help in this matter. I would like to estimate a model by using multiple systems by GMM. I am not too sure I am using the correct terminology so here is what I wish to estimate: dec1 = constant + c(1)*...