Constaint on coefficient System GMM

[alexandrelohmann]

Hi

I am having some difficulty with the following issue:

I need to replicate an inflation model from a Central Bank in Eviews -
The model look like this (simplified)

sys_workhorse2.append Y1 = c(11)*X11+ c(12)*X12 + c(13)*X13
sys_workhorse2.append Y2 = c(21)*X21+ c(22)*X22 + c(23)*X32
sys_workhorse2.append Y3 = c(31)*X31+ c(32)*X32 + c(33)*X33

According to the working paper, i need to impose a constrain on some coefficient such as :

c(11)=c(21)*c(31)/c(32)

Any thoughts about how to do it?

Thanks you very much.

[startz]

Hi

I am having some difficulty with the following issue:

I need to replicate an inflation model from a Central Bank in Eviews -
The model look like this (simplified)

sys_workhorse2.append Y1 = c(11)*X11+ c(12)*X12 + c(13)*X13
sys_workhorse2.append Y2 = c(21)*X21+ c(22)*X22 + c(23)*X32
sys_workhorse2.append Y3 = c(31)*X31+ c(32)*X32 + c(33)*X33

According to the working paper, i need to impose a constrain on some coefficient such as :

c(11)=c(21)*c(31)/c(32)

Any thoughts about how to do it?

Thanks you very much.

Replace

Code: Select all

c(11)

in the code with

Code: Select all

(c(21)*c(31)/c(32))

Be sure that the starting value for c(32) is not zero.