I am using EViews 13 to estimate a quite simple GMM. Not really an expert so experimenting a lot with different specifications and options, but what has confused me a lot so far and couldn't find a theory-based or software-based answer is what the GLS weights add to the mix in a GMM context, especially when applied in addition to a specific weighting matrix.
Period SUR weights seem to play a key role in eliminating serial correlation in my model (annual macro panel), but so far I struggle to grasp what EViews does exactly here. The issue is the EViews 13 guide shows a completely different window arrangement in the GMM section (no drop-down meny for GLS weights), compared to what I actually get in EViews 13 (see below).
Any comments or thoughts would be most welcome - thanks in advance!
- gmm.jpg (33.94 KiB) Viewed 12644 times
- gmm2.jpg (35.92 KiB) Viewed 12644 times