GMM Estimation with eviews
Posted: 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!
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!