GMM, Time series HAC and Bandwidth Andrews
Posted: Mon Aug 19, 2019 2:23 pm
I would like to run a system of equations with GMM with the following characteristics:
Estimation method: Time series HAC
Bandwidth selections: Andrews
Kernel Option: Bartlett
I run the system with the following options
mymodel.gmm(instwgt=hac,instlag=1,instkern=Bartlett, instbw=andrews,nodf)
However, I always get Bandwidth: Fixed (5) and not Andrews.
Any suggestions?
Estimation method: Time series HAC
Bandwidth selections: Andrews
Kernel Option: Bartlett
I run the system with the following options
mymodel.gmm(instwgt=hac,instlag=1,instkern=Bartlett, instbw=andrews,nodf)
However, I always get Bandwidth: Fixed (5) and not Andrews.
Any suggestions?