Hi,
I would like to know how I can declare dynamic instrumental variables for a system of equations that I want to estimate using GMM. The tutorial indicates that for a single equation one can declare a dynamic instrument X by specifying @dyn(X) after the separator @. Can I do the same thing with systems? I tried :
system_name.gmm @ @dyn(x)
with different choices for x (gdp, spread,...) but I get the message "No instrument list specified"
Thank you for your advice
Dynamic instrumental variables in a system GMM
Moderators: EViews Gareth, EViews Moderator
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EViews Gareth
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Re: Dynamic instrumental variables in a system GMM
Might be best to use the dialog wizard to specify your dpd, and then use the command capture to view the command line form.
Re: Dynamic instrumental variables in a system GMM
Thank you for your response. However please forgive me, I couldn't really understand what I should do. What is meant by using the dialog wizard to specify my dpd, what does dpd refer to?
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EViews Gareth
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13600
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Dynamic instrumental variables in a system GMM
Dynamic instruments are only available for dynamic panel data (dpd). Presumably that's what you're estimating?
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