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- Fri May 30, 2014 2:26 pm
- Forum: Econometric Discussions
- Topic: GMM estimation
- Replies: 0
- Views: 1689
GMM estimation
hey guys, I'm trying to estimate a GMM model with dependent variable capital market vol and macro vol as independent variables. I've tried different combinations of intruments and I got "near singular matrix error". This one seems ok, but some reasons, J-statistic is extremly low and none ...