Dynamic instrumental variables in a system GMM

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remuct
Posts: 29
Joined: Fri May 12, 2017 6:47 am

Dynamic instrumental variables in a system GMM

Postby remuct » Fri Jul 05, 2024 2:08 am

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

EViews Gareth
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Re: Dynamic instrumental variables in a system GMM

Postby EViews Gareth » Fri Jul 05, 2024 2:51 am

Might be best to use the dialog wizard to specify your dpd, and then use the command capture to view the command line form.
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remuct
Posts: 29
Joined: Fri May 12, 2017 6:47 am

Re: Dynamic instrumental variables in a system GMM

Postby remuct » Fri Jul 05, 2024 6:05 am

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?

EViews Gareth
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Re: Dynamic instrumental variables in a system GMM

Postby EViews Gareth » Fri Jul 05, 2024 1:25 pm

Dynamic instruments are only available for dynamic panel data (dpd). Presumably that's what you're estimating?
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