Fully Modified GMM

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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kai.leitemo@bi.no
Posts: 1
Joined: Tue Feb 09, 2010 5:00 am

Fully Modified GMM

Postby kai.leitemo@bi.no » Tue Feb 09, 2010 5:17 am

Does the new 7.0 version include the fully modified GMM estimation technique? If not, do you plan it for future releases?

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: Fully Modified GMM

Postby EViews Glenn » Tue Feb 09, 2010 3:33 pm

It doesn't.

In principle you could use the new tools we've built into 7 to construct your own, but the model is a bit messy. We looked into this one for 7 (I assume you mean Kitamura and Phillips), but weren't quite sure whether the demand justified the resource investment. I'll make a note of the request.

MohamedMaher
Posts: 1
Joined: Wed Apr 28, 2021 1:21 pm

Re: Fully Modified GMM

Postby MohamedMaher » Sun Sep 05, 2021 12:51 am

Does the new 12.0 EViews version include the fully modified GMM estimation technique of Kitamura & Phillips (1997)?

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: Fully Modified GMM

Postby EViews Glenn » Fri Sep 10, 2021 8:30 am

Unfortunately, no.


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