GMM: Weighting matrix Vs GLS weights
Posted: Sun Oct 19, 2025 4:16 pm
Hi everyone,
I am using EViews 13 to estimate a quite simple GMM. Not really an expert so experimenting a lot with different specifications and options, but what has confused me a lot so far and couldn't find a theory-based or software-based answer is what the GLS weights add to the mix in a GMM context, especially when applied in addition to a specific weighting matrix.
Period SUR weights seem to play a key role in eliminating serial correlation in my model (annual macro panel), but so far I struggle to grasp what EViews does exactly here. The issue is the EViews 13 guide shows a completely different window arrangement in the GMM section (no drop-down meny for GLS weights), compared to what I actually get in EViews 13 (see below).
Any comments or thoughts would be most welcome - thanks in advance!
I am using EViews 13 to estimate a quite simple GMM. Not really an expert so experimenting a lot with different specifications and options, but what has confused me a lot so far and couldn't find a theory-based or software-based answer is what the GLS weights add to the mix in a GMM context, especially when applied in addition to a specific weighting matrix.
Period SUR weights seem to play a key role in eliminating serial correlation in my model (annual macro panel), but so far I struggle to grasp what EViews does exactly here. The issue is the EViews 13 guide shows a completely different window arrangement in the GMM section (no drop-down meny for GLS weights), compared to what I actually get in EViews 13 (see below).
Any comments or thoughts would be most welcome - thanks in advance!
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