GMM and 2SLS

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ev2889
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Joined: Mon Jan 27, 2014 6:57 pm

GMM and 2SLS

Postby ev2889 » Mon Jan 27, 2014 7:05 pm

I am using the 2-stage least squares method to control for endogeneity problem. Because GMM can also resolve this problem and control for heteroskedasticity and serial correlation, I re-run the data using GMM. But it turns out the 2SLS and GMM results are exactly the same. Am I setting certain GMM features incorrectly? Please let me know.

EV
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EViews Gareth
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Re: GMM and 2SLS

Postby EViews Gareth » Mon Jan 27, 2014 7:58 pm

Which GMM weighting matrix are you using?
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ev2889
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Joined: Mon Jan 27, 2014 6:57 pm

Re: GMM and 2SLS

Postby ev2889 » Tue Jan 28, 2014 1:25 am

I chose 2SLS as weighting matrix. Is it the reason why I got the same results??

EV
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EViews Gareth
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Re: GMM and 2SLS

Postby EViews Gareth » Tue Jan 28, 2014 8:04 am

Yes.
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ev2889
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Joined: Mon Jan 27, 2014 6:57 pm

Re: GMM and 2SLS

Postby ev2889 » Tue Jan 28, 2014 6:15 pm

Are there any details about choosing the weighting matrix in GMM? I could not find any in Illustrated EViews Manual!

Thanks
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EViews Gareth
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Re: GMM and 2SLS

Postby EViews Gareth » Tue Jan 28, 2014 6:19 pm

User Guide II has technical details. For econometric advice, consult your econometric textbook.
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