EViews.com

Posted: **Thu Jun 23, 2011 7:37 am**

Ver: EViews7Patch_062211.exe


%ex7 = "\Example Files\EV7 Manual Data\"
%ch20 = "Chapter 20 - Instrumental Variables and GMM"
%wf = @evpath + %ex7 +%ch20 +"\klein.wf1"
wfopen %wf

equation eq02
c = 0
eq02.gmm(method=cue,instwgt=hac,instlag=1,instkern=thann,instbw=andrews,nodf,deriv=aa) i c y y(-1) k(-1) @  c p(-1) k(-1) x(-1) tm wg g t
freeze(tb020) eq02.output
c = 1
eq02.gmm(method=cue,instwgt=hac,instlag=1,instkern=thann,instbw=andrews,nodf,deriv=aa) i c y y(-1) k(-1) @  c p(-1) k(-1) x(-1) tm wg g t
freeze(tb021) eq02.output

the only different is the value of built-in C. However, compare the results, they use different bandwidth, and what is more, most of the betas in tb020 are not significant, but all are significant in tb021, and with signs change.

Posted: **Mon Jun 27, 2011 9:40 am**

Simply a starting value issue, at a guess. CUE is incredibly sensitive to starting values, plus you only have 21 observations which is going to make any optimisation problematic. You'll note that if you don't use CUE, the equations appear to perform much more "nicely".

Posted: **Mon Jun 27, 2011 5:43 pm**

but even with showopts option, it does not show the starting value

Code: Select all


eq02.gmm(method=cue,instwgt=hac,instlag=1,instkern=thann,instbw=andrews,nodf,deriv=aa,showopts) i c y y(-1) k(-1) @  c p(-1) k(-1) x(-1) tm wg g t

EViews.com

single equation GMM, too much different results

single equation GMM, too much different results

Re: single equation GMM, too much different results

Re: single equation GMM, too much different results