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As you note, the Wald does. I didn't understand that From what I have understood, I should scale down the reported LR statistic from a Redundant Variable Test by dividing by the square of the standard error of the regression that is reported, and compare that value manually with the the critical va...

Thanks Glenn! I did browse through the e-views manual, and your advice seems to sit well with what's mentioned there. I think I'm a bit clearer on this now. I have one more question though. The question is : If I run the regression under the GLM assumption of over-dispersion (GLM robust errors), is ...

Hi all, I have come across a few problems while estimating a Poisson regression model. I have chosen the simplest Poisson method in eviews, with Huber-White robust standard errors. 1) While checking for the significance of a binary regressor (gender dummy), the z-statistic and the associated p-value...

Hi all, My question relates to measuring goodness of fit in the GMM model and for the resulting forecast. I'm dealing with data on the federal funds rate, and used GMM to estimate the Taylor Rule prediction for the federal funds rate. 1) Is it okay to use R^2 to compare different estimations, given ...

Gareth,

Yes I just realized that as well. Thank you, really, for your comments on this one. It finally looks as if my project will be ready by tomorrow :)

Gareth, thanks for your superquick reply. 1) I am grateful for your first point; I was under the assumption that simultaneously updating the weighting matrix and coefficients amounted to CU-GMM. 2) I am not sure about your second point. I need to define orthogonality conditions with the defined resi...

I am estimating an implicitly defined equation (Taylor rule) with GMM. Here are the steps I take to do this: 1) Object-> New Object-> System 2) Specify the system as: ff-((1-c(1))*c(2))-((1-c(1))*c(3)*picpip(+4))-((1-c(1))*c(4)*lgap)-(c(1)*ff(-1)) param c(3) 1.5 c(4) 0.5 @inst 1 lgap(-1) lgap(-2) lg...