GMM Estimation with eviews

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

banana23
Posts: 1
Joined: Sat May 05, 2012 6:46 am

GMM Estimation with eviews

Postby banana23 » Sat May 05, 2012 7:04 am

Hello,

I tried to estimate an model of the following general form with generalized methode of moments:

y = c + b(1)*d(1)*x(1)+ b(2)*d(2)*x(2)+ b(3)*d(3)*x(3)

where: c ...intercept; konstant
b(1),b(2),b(3) ... coeffizient
d(1),d(2),d(3)...instruments
x(1),x(2),x(3)...independen variables
y depend variables

I opened object->new object -> sytem and wrote following code in the window
@inst d(1) d(2) d(3)
y = c(1) + c(2)*d(1)*x(1)+ c(3)*d(2)*x(2)+ c(4)*d(3)*x(3)

But the output seemed not pretty well, so I think I did something wrong. ESpecially i don´t know, whether with this code the right instruments are used for the difefrent independen variables (see general form)

I would be very grateful for help!
Thank xou in advance!

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests