GMM Estimation... How To?

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serj
Posts: 1
Joined: Wed May 18, 2011 12:18 pm

GMM Estimation... How To?

Postby serj » Wed May 18, 2011 12:32 pm

Can someone showe me a step by step estimation of the following gmm model?

Image

i tried this way in object - > system
@inst robid
(robid - robid(-1)) - (c(1) + c(2)* robid(-1)) = 0
((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))^2 - (c(3)^2)*(robid(-1)^2) = 0
((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))*robid(-1) = 0
((((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))^2)*robid(-1) - (c(3)^2)*(robid(-1)^2))*robid(-1) = 0

(where robid is the y variable), and it didn't work.
P.S. The above model is overestimated.

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