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- Sun Oct 19, 2025 4:16 pm
- Forum: Estimation
- Topic: GMM: Weighting matrix Vs GLS weights
- Replies: 1
- Views: 12730
GMM: Weighting matrix Vs GLS weights
Hi everyone, I am using EViews 13 to estimate a quite simple GMM. Not really an expert so experimenting a lot with different specifications and options, but what has confused me a lot so far and couldn't find a theory-based or software-based answer is what the GLS weights add to the mix in a GMM con...