GMM estimation
Posted: Fri May 30, 2014 2:26 pm
hey guys,
I'm trying to estimate a GMM model with dependent variable capital market vol and macro vol as independent variables. I've tried different combinations of intruments and I got "near singular matrix error". This one seems ok, but some reasons, J-statistic is extremly low and none of my variables are significant. Can you please tell me if i'm doing something wrong or my instruments are inappropriate?
thx
I'm trying to estimate a GMM model with dependent variable capital market vol and macro vol as independent variables. I've tried different combinations of intruments and I got "near singular matrix error". This one seems ok, but some reasons, J-statistic is extremly low and none of my variables are significant. Can you please tell me if i'm doing something wrong or my instruments are inappropriate?
thx