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Forecasting GMM with differences/orthogonal deviations

Posted: Wed Feb 03, 2021 12:55 am
by erikjanvanharn

I have estimated a GMM which seems to have a decent fit. The only problem right now that it seems that I am unable to use the model to forecast (error: cannot forecast or create a model from a panel equation estimated using differences or orthogonal deviations). Can anyone explain to me why this is a problem? Is forecasting using differences/orthogonal deviations computationally impossible or can I adjust the model in a way to make it work?

Much obliged.

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