SYSTEM GMM ESTIMATIONS
Posted: Tue Jan 03, 2023 9:03 pm
Dear all,
I HAVE WORKED ON A SYSTEM GMM EQUATION. HERE IS THE EQUATION AND THE SYSTEM GMM RESULT CAN YOU LET ME KNOW IF I SHOULD APPLY CROSSSECTION OR TIME SERIES. I HAVE A PANEL DATA SO I THINK I SHOULD APPLY CROSS SECTION BUT IN ONE OF THE VIDEOS I SAW TIME SERIES AS AN OPTION IN GMM ESTIMATIONS. ALSO CAN YOU LET ME KNOW HOW TO ESTIMATE THE RESULTS OF SYSTEM GMM. WHAT ALL ARE THE CONDITIONS OR TESTS I NEED TO APPLY?
System: GMMSYSTEM
Estimation Method: Generalized Method of Moments
Date: 01/04/23 Time: 10:02
Sample: 2013 2019
Included observations: 1390
Total system (unbalanced) observations 2570
Kernel: Bartlett, Bandwidth: Fixed (8), No prewhitening
Linear estimation after one-step weighting matrix
Coefficient Std. Error t-Statistic Prob.
C(1) 11.207 6.305 1.778 0.076
C(2) 0.432 0.229 1.890 0.059
C(3) -19.296 9.846 -1.960 0.050
C(4) 1.646 2.004 0.821 0.412
C(5) 0.000 0.000 1.044 0.296
C(6) 0.000 0.000 -1.113 0.266
C(7) -1.063 11.468 -0.093 0.926
C(8) 0.811 3.886 0.209 0.835
C(9) -66.107 144.418 -0.458 0.647
C(10)0.373 1.562 0.239 0.811
C(11)0.000 0.003 0.065 0.948
C(12)0.000 0.001 -0.061 0.952
Determinant residual covariance 7407.556151
J-statistic -1.73E-44
Also do let me know if this equation itself is wrong.
I HAVE WORKED ON A SYSTEM GMM EQUATION. HERE IS THE EQUATION AND THE SYSTEM GMM RESULT CAN YOU LET ME KNOW IF I SHOULD APPLY CROSSSECTION OR TIME SERIES. I HAVE A PANEL DATA SO I THINK I SHOULD APPLY CROSS SECTION BUT IN ONE OF THE VIDEOS I SAW TIME SERIES AS AN OPTION IN GMM ESTIMATIONS. ALSO CAN YOU LET ME KNOW HOW TO ESTIMATE THE RESULTS OF SYSTEM GMM. WHAT ALL ARE THE CONDITIONS OR TESTS I NEED TO APPLY?
System: GMMSYSTEM
Estimation Method: Generalized Method of Moments
Date: 01/04/23 Time: 10:02
Sample: 2013 2019
Included observations: 1390
Total system (unbalanced) observations 2570
Kernel: Bartlett, Bandwidth: Fixed (8), No prewhitening
Linear estimation after one-step weighting matrix
Coefficient Std. Error t-Statistic Prob.
C(1) 11.207 6.305 1.778 0.076
C(2) 0.432 0.229 1.890 0.059
C(3) -19.296 9.846 -1.960 0.050
C(4) 1.646 2.004 0.821 0.412
C(5) 0.000 0.000 1.044 0.296
C(6) 0.000 0.000 -1.113 0.266
C(7) -1.063 11.468 -0.093 0.926
C(8) 0.811 3.886 0.209 0.835
C(9) -66.107 144.418 -0.458 0.647
C(10)0.373 1.562 0.239 0.811
C(11)0.000 0.003 0.065 0.948
C(12)0.000 0.001 -0.061 0.952
Determinant residual covariance 7407.556151
J-statistic -1.73E-44
Also do let me know if this equation itself is wrong.