Windmeijer finite sample correction (EViews 7)

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jadegruen
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Joined: Tue Mar 15, 2011 1:07 pm

Windmeijer finite sample correction (EViews 7)

Postby jadegruen » Tue Mar 15, 2011 1:47 pm

I am currently tring to estimate a dynamic GMM model based on an unbalanced panel with large N and small T. Literature suggests for that case to apply a two-step procedure and to perform a Windmeijer finite sample correction. Given the structure of my data is this possible in EViews (in the user guide I only found a reference to this correction method in the section non-panel data GMM options)?

Thanks for any help!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Windmeijer finite sample correction (EViews 7)

Postby EViews Gareth » Tue Mar 15, 2011 2:41 pm

Currently we don't offer Windmeijer corrected standard errors for panel GMM, sorry!

jadegruen
Posts: 2
Joined: Tue Mar 15, 2011 1:07 pm

Re: Windmeijer finite sample correction (EViews 7)

Postby jadegruen » Wed Mar 16, 2011 2:37 am

Thanks for your quick reply. Would it make any difference to the bias in standard errors if I alternatively applied the "iterate to converge" procedure?
(Unfortunately, I cannot use the one-step estimation with respect to the result of the Sargan-Hansen test.)

rdellanno
Posts: 2
Joined: Fri May 21, 2010 3:05 am

Re: Windmeijer finite sample correction (EViews 7)

Postby rdellanno » Fri Apr 01, 2011 2:16 am

I bought few months ago Eviews 7.1 and I see that I can not apply neither Windmeijer finite sample correction for two-step procedure nor system-GMM estimator.
I would know if Eviews technical staff has planned to update GMM estimation for Dynamic Panel in the next months.
To my great regret, I point out as your main competitor (STATA) done this several years ago.Thanks


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