Search found 3 matches

by timh
Thu Mar 17, 2016 10:37 am
Forum: General Information and Tips and Tricks
Topic: Breusch Godfrey test
Replies: 1
Views: 6395

Breusch Godfrey test

Hi, I am working in Eviews 8 (with up to date patch). I am doing a simple OLS regression and want to test for autocorrelation of the residuals. When I click on residual diagnostics, the only menu items are "histogram - normality test" and "Arellano-Bond serial correlation test". ...
by timh
Sun Nov 22, 2015 8:51 am
Forum: Estimation
Topic: GMM error code
Replies: 3
Views: 4737

Re: GMM error code

I've 1600 observations. When I reduce this to just 3-4 time periods the error code changes to near singular matrix, which is what one would expect. How does the full period model generate over 1600 instruments?
by timh
Sun Nov 22, 2015 8:32 am
Forum: Estimation
Topic: GMM error code
Replies: 3
Views: 4737

GMM error code

Hi, I am estimating a model with a dynamic component. The model contains a one-period lag of the dependent variable and four other contemporaneous variables. I can use a 2SLS method, but it is suggested that I explore the Arellano Bond method. I follow the dynamic panel wizard for the GMM/DPD method...

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