GMM Estimation... How To?
Posted: Wed May 18, 2011 12:32 pm
Can someone showe me a step by step estimation of the following gmm model?
i tried this way in object - > system
@inst robid
(robid - robid(-1)) - (c(1) + c(2)* robid(-1)) = 0
((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))^2 - (c(3)^2)*(robid(-1)^2) = 0
((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))*robid(-1) = 0
((((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))^2)*robid(-1) - (c(3)^2)*(robid(-1)^2))*robid(-1) = 0
(where robid is the y variable), and it didn't work.
P.S. The above model is overestimated.
i tried this way in object - > system
@inst robid
(robid - robid(-1)) - (c(1) + c(2)* robid(-1)) = 0
((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))^2 - (c(3)^2)*(robid(-1)^2) = 0
((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))*robid(-1) = 0
((((robid - robid(-1)) - (c(1) + c(2)* robid(-1)))^2)*robid(-1) - (c(3)^2)*(robid(-1)^2))*robid(-1) = 0
(where robid is the y variable), and it didn't work.
P.S. The above model is overestimated.