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As I know autocorrelation lead to inefficiency of equations. They are biased and do not show the real coherence. Isn't it?

Ok, good to know. What would be the best option to eliminate the autocorrelation from this GMM equation? Where I could find the problem? As you see I tried to estimate the short-term interest rate, using series data for the consumer price index and the industrial production. further, I applied the f...

Thank You for your answer.. I converted my equation and now its working fine... :) But I've another Problem... my equation seems to be highly autocorrelated... typically GMM should be robust against autocorrelation and heteroskedasticity, but it's not. do you have any idea how to fix that ? look at ...

Hello! I tried to estimate a GMM equation with monthly data from 1999M01 to 2009M03. I put lagged exogenoeus variables as instruments as usually practiced. But I get an error "Near Singular Matrix". Equation: stir_eu=c(1)*stir_eu(-1)+(1-c(1))*(c(2)+c(3)*outputgap+c(4)*d4log_hcpi) Instrumen...