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GMM Cross Section

Posted: Mon Jun 29, 2015 5:22 pm
by pdwhoward
When you perform system estimation, one of the estimate commands is "GMM - Cross Section (White cov.)". However, when I try to program this using the "gmm" command, Eviews defaults to "GMM - Time Series (HAC)". How can I program using the cross sectional White covariance method? Note that Eviews says the estimation command is simply "gmm", but this is not correct, as it defaults to HAC.

Re: GMM Cross Section

Posted: Tue Jun 30, 2015 8:51 am
by EViews Gareth
From the EViews Object Reference:
2015-06-30_085023.png
2015-06-30_085023.png (85.6 KiB) Viewed 3913 times

Re: GMM Cross Section

Posted: Thu Jul 02, 2015 5:42 am
by pdwhoward
Great, thank you. Note that I was looking in the command ref, and this option is not shown under GMM.