when using the GMM estimator, one may specify that a constant is not to be included in the set of instruments using the option: nocinst, see:
However, in a panel workfile, the constant is automatically added when estimating using panel GMM.
Why is that? is there a way to not include a constant term? Or does it not matter?
When trying in a time-series setting, where I can drop the constant term using the option: nocinst, the instrument rank is the number of non-constant variables, i.e. not taking into account the constant term. The instrument rank do not change when I include the constant term. In a panel setting, however, where the constant term is automatically added, the instrument rank is the number of variables plus 1 (i.e. the constant term). is there a reason for this?
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.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 11 guests