Thanks for your quick reply. Would it make any difference to the bias in standard errors if I alternatively applied the "iterate to converge" procedure?
(Unfortunately, I cannot use the one-step estimation with respect to the result of the Sargan-Hansen test.)
Search found 2 matches
- Wed Mar 16, 2011 2:37 am
- Forum: Estimation
- Topic: Windmeijer finite sample correction (EViews 7)
- Replies: 3
- Views: 3579
- Tue Mar 15, 2011 1:47 pm
- Forum: Estimation
- Topic: Windmeijer finite sample correction (EViews 7)
- Replies: 3
- Views: 3579
Windmeijer finite sample correction (EViews 7)
I am currently tring to estimate a dynamic GMM model based on an unbalanced panel with large N and small T. Literature suggests for that case to apply a two-step procedure and to perform a Windmeijer finite sample correction. Given the structure of my data is this possible in EViews (in the user gui...