GMM Cross Section
Posted: Mon Jun 29, 2015 5:22 pm
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.