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Extracting HAC covariance matrix from GMM estimation
Posted: Wed Feb 23, 2011 8:41 am
by kusdhianto
Hello,
How to extract HAC variance-covariance matrix used in GMM estimation?
Thanks
Re: Extracting HAC covariance matrix from GMM estimation
Posted: Wed Feb 23, 2011 10:03 am
by EViews Gareth
Re: Extracting HAC covariance matrix from GMM estimation
Posted: Wed Feb 23, 2011 10:34 am
by kusdhianto
many thanks for your quick response,
still no luck. Sorry I am new in EViews programming. Here is my equation:
Code: Select all
equation myeq.GMM(METHOD=CONVERGE,INSTWGT=HAC,INSTLAG=A,INSTINFO=AIC,INSTKERN=THANN,INSTBW=ANDREWS,NOCINST,COV=HAC,COVLAG=A,COVINFO=AIC,B,DERIV=AA) (C(1)*(US_RCONS/US_RCONS(-1))^-C(2))*(US_RRM_C)-1 @ 1 US_RCONS(-1)/US_RCONS(-2) US_RRM_C(-1)
where I should put your code?
Re: Extracting HAC covariance matrix from GMM estimation
Posted: Wed Feb 23, 2011 10:41 am
by EViews Gareth
Code: Select all
equation myeq.GMM(METHOD=CONVERGE,INSTWGT=HAC,INSTLAG=A,INSTINFO=AIC,INSTKERN=THANN,INSTBW=ANDREWS,NOCINST,COV=HAC,COVLAG=A,COVINFO=AIC,B,DERIV=AA) (C(1)*(US_RCONS/US_RCONS(-1))^-C(2))*(US_RRM_C)-1 @ 1 US_RCONS(-1)/US_RCONS(-2) US_RRM_C(-1)
matrix wgts = myeq.@instwgt
Re: Extracting HAC covariance matrix from GMM estimation
Posted: Wed Feb 23, 2011 11:12 am
by kusdhianto
thank you so much
best regards