Dynamic panel estimation and instrument rank

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sali_boua
Posts: 1
Joined: Sat Jan 31, 2015 4:50 am

Dynamic panel estimation and instrument rank

Postby sali_boua » Sat Jan 31, 2015 4:59 am

Hi everybody,
can EViews explain me how the instrument rank is calculated.
If I use the ab data, with 7 periods used and just a simple model wher i have no explanatory variables and only one lagged variable the théory says that the number of instruments is 0.5*(T-1)*(T-2) = 15 instruments in that case. Why then EViews is giving an instrument rank équal to 28?
Many thanks

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Dynamic panel estimation and instrument rank

Postby EViews Glenn » Mon Feb 02, 2015 9:27 am

I'm unable to replicate this result. Can you post your workfile? What is the build-date on your copy of EViews?

I just created a 7 period panel and ran DPD on it with a first difference model and obtained an instrument rank of 15.


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