GMM-stationarity of the series and R squared
Posted: Tue Apr 22, 2014 7:44 pm
I need to apply GMM on a Taylor type model where short-term interest rate is on the left side of the model and GDP, inflation rate and exchange rate are on the right side the model. I need to know whether my series should be stationary? and so my instruments in application of GMM should be lagged of the stationary series?
Also I am getting negative R squared! what does this mean?
Cheers
Tinoosh
Also I am getting negative R squared! what does this mean?
Cheers
Tinoosh