Arellano/Bond panel GMM estimator
Posted: Wed Apr 08, 2015 6:45 am
Hi,
I try to estimate a trivarite VECM by a panel one-step GMM estimator by Arellano/Bond. When following the Dynamic Panel wizard, I reiceive as a final message:
"Number of instruments greater than number of observations"
What could be the reasons for that? I included up to two lags and I have 420 observations over a time period of around 35 years for 12 countries.
Attached you can find my data.
Thanks a lot.
I try to estimate a trivarite VECM by a panel one-step GMM estimator by Arellano/Bond. When following the Dynamic Panel wizard, I reiceive as a final message:
"Number of instruments greater than number of observations"
What could be the reasons for that? I included up to two lags and I have 420 observations over a time period of around 35 years for 12 countries.
Attached you can find my data.
Thanks a lot.