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I would like to know if there is any difference between system GMM and difference GMM. I realise that we can choose to difference option to control for fixed effects.

Secondly, I wonder if anyone can suggest textbooks or references where I can find the Sargen and Hansen tests for overidentification problem in the GMM method. The EViews manual does not explain these tests in details. Please advise.

Dave

I'm afraid your question isn't particularly clear. To what are you referring when you say "difference GMM" or "system GMM"?

GMM refers to generalized method of moments. I would like to know whether the default GMM is actually called the system GMM.

And let me know any textbook or reference that would provide the GMM, especially the overidentification tests (Sargan and Hansen tests). Thanks.

Dave

Sorry, you're still not being specific enough. Are you referring to single equation GMM? Or GMM estimation of a system of non-panel equations? Or are you talking about the Blundell Bond System GMM estimator for dynamic panel data?

I am referring to the the Blundell Bond System GMM estimator for dynamic panel data. How may I use it in EViews?

Thanks.

EViews does not have the Blundell Bond system estimator.