User specified weighting Matrix

nadirvirk · Postby **nadirvirk** » Mon Nov 15, 2010 7:44 am

Hi,
Please , can the weighting matrix can given to eviews 6 externally for GMM estimations. Actually I want estimates Hansen and Jagannathan (1997) distance measure for which the 2nd stage weighting matrix need to be the inverse matrix of test assets.
I also have another question that is it possible to link eviews 6 with an excel file such that when the data is changed in excel sheet it also update in the corresponding eviews workfile.
waiting!

EViews Gareth · Postby **EViews Gareth** » Mon Nov 15, 2010 9:03 am

User specified weighting matrices are available in EViews 7 only.

Neither EViews 6 nor EViews 7 will automatically update data when an Excel file is changed.

nadirvirk · Postby **nadirvirk** » Tue Nov 16, 2010 4:33 am

Well,i hope the user specified weighting matrix works also for the system GMM. Can you please explain how to do it in eviews 7 for two step GMM estimations.
thx

EViews Gareth · Postby **EViews Gareth** » Tue Nov 16, 2010 8:00 am

Not available for system GMM

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