Search found 1 match
- Mon Mar 10, 2014 7:53 pm
- Forum: Econometric Discussions
- Topic: The VAR in system is estimated using the GMM Arellano-Bond
- Replies: 0
- Views: 1802
The VAR in system is estimated using the GMM Arellano-Bond
I have to deal with running VAR by GMM Arellano-Bond approach. My panel data has 9 cross sections and 32 time series, it is unbalanced By testing lag length, i get lag 3 and this is my model: dfx dfx(-1) dfx(-2) dfx(-3) ddirect.invest(-1) ddirect.invest(-2) ddirect.invest(-3) d1 d2 d3 c (with d1 d2 ...