hello sir,
i am facing problem, with the interpretation of results of GMM method, can you please tell me how to interpret the results of gmm .
I am doing monetary policy analysis, using different variables and i am using eviews version 8
following is my results
Dependent Variable: IT
Method: Generalized Method of Moments
Date: 07/16/14 Time: 13:29
Sample (adjusted): 1993Q3 2012Q4
Included observations: 78 after adjustments
Linear estimation with 1 weight update
Estimation weighting matrix: White
Standard errors & covariance computed using estimation weighting matrix
Instrument specification: INFLATION(-1 TO -3) OUTPUT(-1) OUTPUT(-2) S(
-1 TO -10) TED(-1) TED(-2) HP_D(-1) HP_D(-2) UNEMP(-1) UNEMP(-2)
Constant added to instrument list
Variable Coefficient Std. Error t-Statistic Prob.
C 2.438944 0.209980 11.61511 0.0000
INFLATION -0.644368 0.081365 -7.919454 0.0000
OUTPUT 24.40266 6.423145 3.799176 0.0003
S 0.005303 0.003626 1.462799 0.1479
TED 0.169996 0.065187 2.607838 0.0111
HP_D -0.029325 0.010020 -2.926598 0.0046
UNEMP_D -0.031464 0.008233 -3.821633 0.0003
R-squared 0.662795 Mean dependent var 1.164240
Adjusted R-squared 0.634299 S.D. dependent var 0.970449
S.E. of regression 0.586862 Sum squared resid 24.45288
Durbin-Watson stat 0.424939 J-statistic 23.90202
Instrument rank 22 Prob(J-statistic) 0.066776
GMM problem in interpretation of results
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