Fully Modified GMM
Posted: Tue Feb 09, 2010 5:17 am
Does the new 7.0 version include the fully modified GMM estimation technique? If not, do you plan it for future releases?
It doesn't.
In principle you could use the new tools we've built into 7 to construct your own, but the model is a bit messy. We looked into this one for 7 (I assume you mean Kitamura and Phillips), but weren't quite sure whether the demand justified the resource investment. I'll make a note of the request.